不同借贷利率下投资组合的有效前沿  

The Efficient Frontier of Portfolio in Different Borrowing and Lending Rates

作　　者：刘小玲[1] 安雪梅[1] 

机构地区：[1]湘潭大学资产管理处,湖南湘潭411105

出　　处：《南华大学学报（社会科学版）》2003年第4期13-15,20,共4页Journal of University of South China(Social Science Edition)

摘　　要：　文章研究了不同借贷利率下投资组合的有效前沿,并运用我们自己创立的一种几何方法给出了该有效前沿的方程。首先把Markowitz模型的有效前沿用投资组合的权重向量表示出来,然后将不同借贷利率下的资本市场线(CML)也用投资组合的权重向量表示出来,再由CML的定义在Markowitz模型的有效前沿上分别求出不同借贷利率下资本市场线与Markowitz模型有效前沿的切点,同时也得到不同借贷利率下CML的斜率,这样我们就得到了不同借贷利率下投资组合的有效前沿。The capital-asset pricing model (CAPM) discovered by Sharp (1964), Lintner (1965) and Mossin (1966) is a general equilibrium model. It not only allows improved understanding of market behavior, but also provides practical benefits. At the same time, it also provides a practical mechanism for evaluating performance in a risk-adjusted mode. This model thus provides the initial basis for the practical implementation of the many aspects of portfolio analysis. So it is necessary to study the portfolio problem in different borrowing and lending rate. In this paper, we study the efficient frontier of portfolio in different borrowing and lending rate and set the equation of this frontier with a new way that is established by us.

关 键 词：市场投资组合 有效前沿 资本市场线 

分 类 号：F830.91[经济管理—金融学]