非负约束下含无风险证券的投资组合方法  

A Study on Portfolio Investment Decision Model Including the Risk Free Security under the Condition of No Short Sale

作　　者：范宝珠[1] 滕成业[1] 朱庆华[1] 

机构地区：[1]中山大学数学与计算科学学院,广东广州510275

出　　处：《中山大学学报（自然科学版）》2001年第3期25-28,共4页Acta Scientiarum Naturalium Universitatis Sunyatseni

基　　金：广发证券"风险与收益决策分析模型"研究基金

摘　　要：研究了不允许卖空条件下含无风险证券的资产组合理论 ,证明了该问题的解的存在性和惟一性 ,利用原有的两基金分离定理 ,给出了在给定收益率下求解该问题的思路 ,并给出该问题有效投资组合边界的确定方法 .The portfolio investment decision model including the risk free security under the condition of no short sale is studied. It is shown that there exists a unique solution of this model, with a new method to find out the solution presented, and the way to establish the efficient frontier is also studied.

关 键 词：不允许卖空 证券投资组合 无风险证券 有效边界 

分 类 号：F830.9[经济管理—金融学]