考虑无风险资产的安全首要有效投资组合  

Security-First Efficient Portfolio of Investment with a Riskless Asset

作　　者：刘慧宏[1] 丁元耀[1] 

机构地区：[1]宁波大学,浙江宁波315211

出　　处：《阅江学刊》2015年第1期27-34,共8页Yuejiang Academic Journal

基　　金：国家社科基金项目"社保基金投资的市场风险防控对策研究"(12BGL029);浙江省自然科学基金项目"改进的安全首要投资组合选择理论研究"(LY12G01006)

摘　　要：安全首要准则在应用于投资策略选择时,更强调投资要预防极端或重大损失的发生。目前三种经典的安全首要投资组合模型皆存在局限性。综合并改进三种经典安全首要投资组合选择模型,以此为基础,建立一个新的考虑无风险资产的安全首要投资组合选择模型,并讨论其最优投资组合策略,该模型更加适合进行国家社会保障基金的投资管理。在存在无风险资产的情形下得到安全首要最优投资组合策略存在的充分必要条件,给出有效投资组合策略的显式表达。Security-first principle puts emphasis on prevention from severe loss when it is applied in the selection of investment strategies. Currently the three classical security-first portfolio of investment have limitation. Based on classical security-first portfolio of investment models,the paper put forward an improved security-first portfolio of investment model with a riskless asset which is well adapted to management of investment of social security fund. It obtains the necessary and sufficient conditions for existing optimal security-first portfolios of the model,and then provides explicit expression of efficient portfolio strategies.

关 键 词：安全首要准则 投资策略 无风险资产 社保基金投资 

分 类 号：F830.91[经济管理—金融学] F224