证券数减少对证券组合有效前沿的影响  

Influence on the Efficient Frontier of Portfolio with Decreasing Securities Number

作　　者：周夕志[1] 

机构地区：[1]重庆师范大学数计学院,重庆400047

出　　处：《天水师范学院学报》2007年第5期17-18,共2页Journal of Tianshui Normal University

摘　　要：基于均值-方差(M-V)投资组合选择模型,建立了证券数减少情况下证券组合均值-方差模型,利用该模型分析了证券数减少对有效前沿的影响。结果表明,证券数减少会引起证券组合有效前沿向右(右上,右下,平行向右)漂移且开口变小,同时给出了相应的经济解释。Based on mean-variance （M-V）portfolio selection model, the new M-V portfolio model with the number of security decreasing was established. With the new M-V portfolio, the influence of the number decrease on efficient frontier is obtained. The results show that the new efficient frontier drifts to right （up-right, down-right, or parallel-right） and its opening is narrower. The corresponding economic meaning is provided as well.

关 键 词：证券组合 有效前沿 漂移 

分 类 号：F830.9[经济管理—金融学]