证券数减少情形下M-V证券组合特征灵敏度研究  

Sensitivity Research on the Characteristic of M-V Portfolio with Its Number Decreasing

作　　者：吴祝武[1] 朱开永[1] 胡建华[1] 许盈盈[1] 

机构地区：[1]中国矿业大学理学院,江苏徐州221008

出　　处：《中国矿业大学学报》2006年第3期419-422,共4页Journal of China University of Mining & Technology

基　　金：中国矿业大学科技基金项目(A200409)

摘　　要：基于均值-方差(M-V)投资组合选择模型,分析了证券市场上不存在无风险资产且允许卖空条件下证券组合特征关于证券数减少的灵敏度.通过引入扰动因子和扰动矩阵,建立了证券数减少时M-V组合模型.同时与原有模型进行了比较,分析了证券数减少对有效前沿的影响.结果表明:证券数减少时M-V证券组合有效前沿向右漂移且开口变大,并给出了相应的经济解释.Based on mean variance （M-V） portfolio selection model, the sensitivity of combination characteristic of M-V portfolio on condition that there isn＇t non-risk security and short sales are allowed in the market was studied when the number of securities decreases. The new M-V portfolio model with the number of security decreasing was established by means of introducing perturbation factor and perturbation matrix. Compared with the primary model, the influence of the number decrease on efficient frontier is obtained. The results show that the new efficient frontier drift to right and its opening is broader. The corresponding economic meaning is provided.

关 键 词：证券组合 有效前沿 扰动 漂移 

分 类 号：O211.6[理学—概率论与数理统计]