| M-V证券组合模型的修正模型 |
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| 引用本文： | 侯为波. M-V证券组合模型的修正模型[J]. 淮北煤炭师范学院学报(自然科学版), 2003, 24(2): 1-7 |
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| 作者姓名： | 侯为波 |
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| 作者单位： | 淮北煤炭师范学院数学系,安徽,淮北,235000 |
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| 基金项目： | 安徽省教育厅科研计划项目(2003kj291) |
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| 摘 要： | 本文给出Markowitz的M-V证券组合模型的一个修正模型,并就证券市场存在和不存在无风险收益证券两种情形给出模型的解析解,分析了解的性态.研究结果表明,该模型不仅保持了Markowitz模型良好的解的形态和较强的几何直观,且不需要估计证券间的协方差,大大简化了最优证券组合计算过程,可用于大规模证券组合.
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| 关 键 词： | M-V模型 非系统风险 投资 证券组合 |
| 文章编号： | 1000-2227(2003)02-0001-07 |
| 修稿时间： | 2003-03-31 |
Modified Models of Mean- Variance Portfolio Model |
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| HOUWei-bo. Modified Models of Mean- Variance Portfolio Model[J]. Journal of Huaibei Coal Industry Teachers College(Natural Science edition), 2003, 24(2): 1-7 |
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| Authors: | HOUWei-bo |
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| Abstract: | In this paper, modified models of mean-variance portfolio model are given by means of nonsystematic risk. Analytic solutions of the models and the properties of the solutions are given when riskless securities exist or not. The results show that the modified models, which maintain the good behaviors of the solutions and geometric figure of the M-V model and simplify the process of det ermining optimal portfolio, can be used in large-scale portfolio problems. |
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| Keywords: | M-V model nonsystematic risk investment portfolio |
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