| 证券数减少情形下M-V证券组合特征灵敏度研究 |
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| 引用本文： | 吴祝武,朱开永,胡建华,许盈盈.证券数减少情形下M-V证券组合特征灵敏度研究[J].中国矿业大学学报,2006,35(3):419-422. |
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| 作者姓名： | 吴祝武 朱开永 胡建华 许盈盈 |
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| 作者单位： | 中国矿业大学,理学院,江苏,徐州,221008 |
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| 基金项目： | 中国矿业大学校科研和教改项目 |
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| 摘 要： | 基于均值-方差（M—V）投资组合选择模型，分析了证券市场上不存在无风险资产且允许卖空条件下证券组合特征关于证券数减少的灵敏度．通过引入扰动因子和扰动矩阵，建立了证券数减少时M—V组合模型．同时与原有模型进行了比较，分析了证券数减少对有效前沿的影响．结果表明：证券数减少时M—V证券组合有效前沿向右漂移且开口变大，并给出了相应的经济解释．
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| 关 键 词： | 证券组合 有效前沿 扰动 漂移 |
| 文章编号： | 1000-1964(2006)03-0419-04 |
| 收稿时间： | 01 25 2005 12:00AM |
| 修稿时间： | 2005年1月25日 |
Sensitivity Research on the Characteristic of M-V Portfolio with Its Number Decreasing |
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| WU Zhu-wu,ZHU Kai-yong,HU Jian-hua,XU Ying-ying.Sensitivity Research on the Characteristic of M-V Portfolio with Its Number Decreasing[J].Journal of China University of Mining & Technology,2006,35(3):419-422. |
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| Authors: | WU Zhu-wu ZHU Kai-yong HU Jian-hua XU Ying-ying |
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| Abstract: | Based onmean-variance(M-V)portfolioselectionmodel,the sensitivity of combination characteristic of M-Vportfolio on condition that there isn't non-risk security and short sales are allowed in the market was studied when the number of securities decreases.The new M-V portfoliomodelwith the number of security decreasing was establishedby means of introducing perturbation factor and perturbation matrix.Compared with the primary model,the influence of the number decrease on efficient frontier is obtained.The results show that the new efficient frontier drift to right and its opening is broader.The corresponding economic meaning is provided. |
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| Keywords: | portfolios efficient frontier perturbation drifting movement |
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