部分证券限制卖空的证券组合选择问题  

Problem of Portfolio Selection in Case of Some Stocks' Short Sales Being Not Permitted

作　　者：曹世勇[1] 达庆利[1] 

机构地区：[1]东南大学经济管理学院,南京210096

出　　处：《东南大学学报（自然科学版）》2001年第5期96-100,共5页Journal of Southeast University：Natural Science Edition

摘　　要：马柯维兹针对AX =b的证券组合选择问题用临界线方法进行了深入地研究 .本文研究了部分证券限制卖空的组合选择问题 .研究发现 :对部分证券限制卖空的组合选择问题可以运用类似于临界线算法的方法进行研究 .运用这种方法可以得到一系列类似于所有证券限制卖空情形下马柯维兹所得到的结论 ,并可很方便地求出对部分证券限制卖空的组合选择问题的有效EV组合集和完全非多余的资产组合集 .With AX=b, X T μ=E,X∈{X|X≥0} , a problem of portfolio selection has been deeply studied by Markowitz with the method called the Critical Line Algorithm. This article discusses the problem while only some of the assets' short sale being permitted. The article finds that the problem that only some of the assets' short sales are permitted can be solved by the method, which resembles the method called Critical Line Algorithm. A series of conclusions can be got, and these conclusions resemble those obtained by Markowitz when assets' short sale is not permitted. With the method presented in this article, the E-V set and the totally non-abundance portfolio set can be obtained. The article develops the application of critical line algorithm.

关 键 词：证券组合选择 卖空 临界线 资产组合 运筹学 

分 类 号：F830.91[经济管理—金融学] F224.3