| 方差-协方差矩阵退化的三种风险资产的组合边界 |
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| 引用本文： | 逄淑梅,易建新.方差-协方差矩阵退化的三种风险资产的组合边界[J].新余高专学报,2004,9(5):12-14. |
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| 作者姓名： | 逄淑梅 易建新 |
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| 作者单位： | 华南师范大学,数学系,广东,广州,510631 |
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| 摘 要： | 利用均值一方差模型，讨论了当三种风险资产的方差一协方差矩阵退化时，投资组合的组合边界，得到了不同情形下的组合边界的表达式，并分析了其本质特征，为制定合理的投资组合提供了一种好的思路。
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| 关 键 词： | 退化 组合边界 投资组合 套利 |
| 文章编号： | 1008-6765(2004)05-0012-03 |
| 修稿时间： | 2004年9月2日 |
Combination Boundary of Three Kinds of Risk Assets of Variance- Covariance Matrix Degeneration |
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| PANG Shu - mei,YI Jian - xin.Combination Boundary of Three Kinds of Risk Assets of Variance- Covariance Matrix Degeneration[J].Journal of XinYu College,2004,9(5):12-14. |
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| Authors: | PANG Shu - mei YI Jian - xin |
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| Abstract: | By use of average value - variance model, the paper discusses the combination boundary of investment combination when the variance - covariance matrix of three kinds of risk assets degenerates, obtaining expression of combination boundary under different conditions. It analyses the essential features of the combination boundary so as to provide a good idea for the reasonable investment combination. |
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| Keywords: | Degeneration Combination boundary Investment combination Interest arbitrage |
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