| 开放式基金的单阶段均值-方差模型 |
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| 引用本文： | 张柳霞.开放式基金的单阶段均值-方差模型[J].内蒙古大学学报(自然科学版),2008,39(1):13-17. |
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| 作者姓名： | 张柳霞 |
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| 作者单位： | 中华女子学院公共教学部,北京,100101 |
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| 摘 要： | 基于开放式基金的运行机制,对其最优投资组合问题建立了单阶段均值-方差模型,在赎回准备金有固定的比例的前提下,就是否存在无风险资产的投资进行了讨论,并推导出相应问题的最优解和有效前沿的表达式,同时还给出了含风险和预期收益的权衡参数ω的模型与一般均值-方差模型等价的充分必要条件.
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| 关 键 词： | 开放式基金 投资组合 有效前沿 均值-方差模型 |
| 文章编号： | 1000-1638（2008）01-0013-05 |
| 收稿时间： | 2007-07-05 |
| 修稿时间： | 2007年7月5日 |
A Single-period Mean-variance Model of the Open Fund |
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| ZHANG Liu-xia.A Single-period Mean-variance Model of the Open Fund[J].Acta Scientiarum Naturalium Universitatis Neimongol,2008,39(1):13-17. |
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| Authors: | ZHANG Liu-xia |
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| Abstract: | Based on the operating mechanism of the open fund,a single-period mean-variance model is established for selecting optimal portfolios. On the premise that the ratio of surplus assets is fixed, the optimum solutions and the expresses of the efficient frontier of different cases are deduced in terms of whether there are riskless assets. Furthermore the equivalence relation with the model which includes the parameter to weigh the risk and the expected income is discussed. |
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| Keywords: | open fund portfolio efficient frontier mean-variance model |
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