一般M-V模型中的有效证券组合及无套利分析  

Efficient Portfolio and No-Arbitrage Analysis in General M-V Model

作　　者：蒋春福[1] 戴永隆[1] 

机构地区：[1]中山大学数学与计算科学学院,广州510275

出　　处：《应用概率统计》2007年第1期31-41,共11页Chinese Journal of Applied Probability and Statistics

基　　金：国家自然科学基金(10271120).

摘　　要：本文研究了协方差阵奇异时一般M-V模型中的有效证券组合,得到了证券市场存在有效证券组合的充要条件,并给出了有效证券组合的通解和有效前沿的性质．最后,本文还在奇异协方差阵下进行了无套利分析,得到了证券市场无套利的充要条件,从而证明了Szeg(?)的猜想．In this paper, we investigate efficient portfolio in general M-V model with singular covariance matrix. This paper not only establishes the necessary and sufficient condition for existing efficient portfolio in the stock market, but derives the general solutions of efficient portfolio and some properties of efficent frontier. Finally we make no-arbitrage analysis for the stock market with singular covariance matrix, obtain the necessary and sufficient condition for not existing abritarge portfolio, which proves the conjecture proposed by Szegoe.

关 键 词：奇异协方差阵 有效证券组合 有效前沿 套利 

分 类 号：O212.1[理学—概率论与数理统计]