| 不允许卖空的多因素证券组合投资决策模型 |
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| 引用本文： | 马永开,唐小我.不允许卖空的多因素证券组合投资决策模型[J].系统工程理论与实践,2000,20(2):37-43. |
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| 作者姓名： | 马永开 唐小我 |
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| 作者单位： | (1)安徽财贸学院基础部;(2)电子科技大学管理学院 |
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| 基金项目： | 国家杰出青年科学基金!( 7972 5 0 0 2 ) |
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| 摘 要： | 利用套利定价理论(APT)改进不允许卖空的Markowitz的证券组合投资决策模型,导出了不允许卖空的多因素证券组合投资决策模型,并研究了该模型的解及其性质.
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| 关 键 词： | 证券组合 因素模型 套利定价理论 因素风险 非因素风险 |
Multi-factor Model for Portfolio Investment Decision under the Condition of No Short Sale |
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| MA Yong-kai,TANG Xiao-wo.Multi-factor Model for Portfolio Investment Decision under the Condition of No Short Sale[J].Systems Engineering —Theory & Practice,2000,20(2):37-43. |
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| Authors: | MA Yong-kai TANG Xiao-wo |
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| Institution: | (1)Anhui Institute of Finance and Trade;(2)University of Electronic Science and Technology of China |
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| Abstract: | In this paper, we simplify Markowitz′s model for portfolio investment under the condition of no short sale with the help of arbitrage pricing theory (APT), present a multifactor model for portfolio investment decision under the condition of no short sale, and study its solution and its characteristics. |
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| Keywords: | portfolio factor model APT factor risk non\|factor risk |
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