不同借贷利率下的投资组合选择问题的实证分析  

An Empirical Analysis of Portfolio Selection Theory with Different Interest Rates for Borrowing and Lending

作　　者：杨凯伦[1] 

机构地区：[1]天津工业大学理学院,天津300160

出　　处：《石家庄学院学报》2010年第6期95-102,共8页Journal of Shijiazhuang University

摘　　要：在不同借贷利率条件下建立了投资组合选择的Markowitz均值-方差模型,利用Kuhn-Tucker条件得到了含有无风险证券和不含有无风险证券2种情况下的最优投资策略和有效前沿的解析表达式,并应用中国股票市场上的实际数据对所得结论进行了实际分析.Portfolio selection is to seek a best allocation of wealth among a basket of securities which enables investors to seek the highest return after specifying their acceptable risk level.In this paper,under different borrowing and lending rate,a mathematical model of portfolio selection is established.Using Kuhn-Tucker condition,we obtained the optimal investment strategy and effective frontier of portfolio selection with a riskless asset or without a riskless asset.Finally,the results obtained in the thesis are illustrated on Chinese stock market’s data.

关 键 词：投资组合 均值-方差模型 借贷利率 最优投资策略 有效前沿 实证分析 

分 类 号：O21[理学—概率论与数理统计]