奇异协方差阵下的有效证券组合  

The Efficient Set in the Case of Singular Covariance Matrix

作　　者：张培建[1] 

机构地区：[1]中国煤炭经济学院管理系,山东烟台264005

出　　处：《中国煤炭经济学院学报》2001年第4期287-289,300,共4页Journal of China Coal Economic College

摘　　要：借助一个“套利组合模型”对奇异协方差阵下有效证券组合的求解及其有关问题进行了分析论证 ,得出的结论是 ,协方差矩阵奇异时 ,证券市场有可能存在“套利组合”。在此基础上 ,求出了有效市场下有效证券组合的通解 ,亦获得了有效市场下证券收益率的期望值及其方差都与有效证券组合解的唯一性无关的结果。The solution to efficient set and some problems in the case of singular covariance matrix are discussed by means of an arbitrage model. It is reached that arbitrage may exist in the security market when the covariance is singular. Based on this, the solution to efficient set in efficient market is solved, and it is also obtained that the expected value and variance of the rate of portfolio return are not related to uniqueness of efficient set in the efficient market.

关 键 词：证券组合投资 有效证券组合 奇异协方差阵 证券市场 证券收益率 期望值 

分 类 号：F830.91[经济管理—金融学]