| 基金分离定理的进一步研究 |
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| 引用本文： | 曾勇,唐小我,郑维敏.基金分离定理的进一步研究[J].系统工程学报,2001,16(3):187-191. |
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| 作者姓名： | 曾勇 唐小我 郑维敏 |
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| 作者单位： | 1. 电子科技大学管理学院,
2. 清华大学经济管理学院, |
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| 基金项目： | 国家杰出青年科学基金资助项目(79725002)；国家教委跨世纪优秀人才培养计划基金项目(教计厅［1997］2号). |
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| 摘 要： | 在以往研究基础上，以直观的方式讨论了有效集在非平凡生成情况下风险证券收益分布的特征，将Ross在允许卖空情况下的结论推广到不允许卖空但引入指数期货的情况，进一步说明了线性指数（因素）模型在基金分离、资本资产定价和资产配置决策中的关键性作用。
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| 关 键 词： | 组合证券 指数期货 基金分离定理 风险 效用函数 |
| 文章编号： | 1000-5781(2001)03-0187-05 |
| 修稿时间： | 1999年12月21 |
Further study of
mutual-fund separation theories |
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| ZENG Yong,TANG Xiao-wo,ZHENG Wei-min.Further study of
mutual-fund separation theories[J].Journal of Systems Engineering,2001,16(3):187-191. |
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| Authors: | ZENG Yong TANG Xiao-wo ZHENG Wei-min |
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| Institution: | ZENG Yong 1,TANG Xiao wo 1,ZHENG Wei min 2 |
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| Abstract: | Based on previous studies, the distributional properties of returns on risky securities are discussed in an intuitive way under the condition of nontrivial spanning of efficient set, and the results obtained by Ross provided that short selling is allowed are extended to the case in which short selling is prohibited but stock index futures are introduced. The pivotal role of linear index (factor) models in separating, capital asset pricing and asset allocation is further indicated. |
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| Keywords: | portfolio stock index futures short selling efficient set mutual fund separation theorems spanning |
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