| 市场指数模型下最优证券组合的简化算法 |
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| 引用本文： | 曾勇 曹长修. 市场指数模型下最优证券组合的简化算法[J]. 控制与决策, 1997, 12(2): 119-125 |
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| 作者姓名： | 曾勇 曹长修 |
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| 作者单位： | 电子科技大学管理学院!成都，610054，电子科技大学管理学院!成都，610054，重庆大学 |
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| 基金项目： | 国家自然科学基金，国家教委优秀年轻教师基金资助项目 |
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| 摘 要： | 研究市场指数模型下最优证券组合的简化算法,扩展了针对预期超额收益—贝塔比率最大化提出的简化算法,并将其应用于确定最小风险证券组合构成、考虑风险容忍度的最优证券组合构成、允许和不允许限制性卖空情况下有效证券组合构成及其变动。
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| 关 键 词： | 市场指数模型 最优证券组合 简化算法 限制性卖空 有效组合结构特征 |
The Simplified Algorithms for Determining Optimal Portfolios Based on Market Index Model |
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| Zeng Yong,Tang Xiaowo Cao Changxiu. The Simplified Algorithms for Determining Optimal Portfolios Based on Market Index Model[J]. Control and Decision, 1997, 12(2): 119-125 |
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| Authors: | Zeng Yong Tang Xiaowo Cao Changxiu |
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| Abstract: | The simplified algorithms for determining optimal portfolios are studied based on market index model, and the general structural properties of efficient portfolios are discussed with restricted short selling being introduced. The simple criterion for expected excess return - to - Beta ratio maximization is extended, and the extended simplified algorithms are applied to determining the composition of the risk - minimized portfolios, the optimal portfolios considering risk tolerance of investers and the efficient portfolios with restricted short sales allowed and not allowed. |
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| Keywords: | market index model optimal portfolio simplified algorithm restricted short selling structural properties of efficient portfolios |
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