| 非负约束下含无风险证券的投资组合方法 |
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| 引用本文： | 范宝珠,滕成业,朱庆华.非负约束下含无风险证券的投资组合方法[J].中山大学学报(自然科学版),2001,40(3):25-28. |
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| 作者姓名： | 范宝珠 滕成业 朱庆华 |
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| 作者单位： | 中山大学数学与计算科学学院, |
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| 基金项目： | 广发证券“风险与收益决策分析模型”研究基金资助项目 |
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| 摘 要： | 研究了不允许卖空条件下含无风险证券的资产组合理论，证明了该一的存在性和惟一性，利用原有的两基金离定理，给在给定收益率下求解该的思路，并给出该问题有效投资组合边界的确定方法。
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| 关 键 词： | 不允许卖空 证券投资组合 无风险证券 有效边界 |
| 文章编号： | 0529-6579(2001)03-0025-04 |
| 修稿时间： | 2000年8月3日 |
A Study on Portfolio Investment Decision Model Including the Risk Free Security under the Condition of No Short Sale |
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| FAN Bao-zhu,TENG Cheng-ye,ZHU Qing-hua.A Study on Portfolio Investment Decision Model Including the Risk Free Security under the Condition of No Short Sale[J].Acta Scientiarum Naturalium Universitatis Sunyatseni,2001,40(3):25-28. |
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| Authors: | FAN Bao-zhu TENG Cheng-ye ZHU Qing-hua |
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| Abstract: | The portfolio investment decision model including the risk free security under the condition of no short sale is studied. It is shown that there exists a unique solution of this model, with a new method to find out the solution presented, and the way to establish the efficient frontier is also studied. |
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| Keywords: | without short sale portfolio selection risk free security efficient frontier |
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