| 基于卖空成本的证券投资基金投资组合选择问题 |
| |
| 引用本文： | 王良,杨乃定,姜继娇.基于卖空成本的证券投资基金投资组合选择问题[J].系统管理学报,2009,18(3). |
| |
| 作者姓名： | 王良 杨乃定 姜继娇 |
| |
| 作者单位： | 1. 西安交通大学,应用经济学博士后流动站,西安,710061;西北工业大学,管理学院,西安,710072
2. 西北工业大学,管理学院,西安,710072 |
| |
| 摘 要： | 讨论了卖空条件下,按卖空中股价比例收取成本费用的证券投资基金投资组合选择问题,提出了有卖空成本、考虑基金管理人风险偏好的证券投资基金投资组合选择最优化模型,求出了最优解的解析表达式及其有效边界.在此基础上,结合模型的有效边界及相应的置信水平对模型最优解存在条件进行了分析并提出了相关定理.最后,进行了算法释例.
|
| 关 键 词： | 证券 基金 卖空 有效边界 成本 |
A Portfolio Selection Model for Mutual Fund Considering the Cost of Short Selling |
| |
| WANG Liang,YANG Nai-ding,JIANG Ji-jiao.A Portfolio Selection Model for Mutual Fund Considering the Cost of Short Selling[J].Systems Engineering Theory·Methodology·Applications,2009,18(3). |
| |
| Authors: | WANG Liang YANG Nai-ding JIANG Ji-jiao |
| |
| Abstract: | We discussed the problem of portfolio selection for mutual fund when the cost of short selling is proportional to the price of stock. Furthermore, a portfolio selection model for mutual fund is presented combining with cost of short selling and investors'risk preference. The properties of existence of the optimal solution and the effective frontier of the model were discussed. Finally, an illustrative example was provided. |
| |
| Keywords: | stock mutual fund short selling effective frontier cost |
| 本文献已被 万方数据 等数据库收录！ |
|
