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存在无风险资产的投资组合灵敏度分析(英文) 被引量:4

Portfolio's Sensitivity Analysis with Riskless Asset
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摘要 研究了M V证券投资组合灵敏度分析方法。分别考虑了证券市场存在无风险资产时证券预期收益率和协方差矩阵有扰动的情形,给出了最优投资组合有效边缘的漂移方程及组合扩展路径,以便投资者能根据扰动情况及时调整自己的投资组合。 This paper gives approaches to the sensitivity analysis for Mean-Variance (M-V) portfolios with riskless asset. The floating equations of the efficient frontier and expansion path are presented for changes in the security expected return and covariance matrix (as a reflection of risk) in case existing riskless asset, so that portfolios can be adjusted in time according to disturbance.
出处 《工程数学学报》 CSCD 北大核心 2003年第6期21-25,共5页 Chinese Journal of Engineering Mathematics
基金 ThisworkissupportedbyNationalNaturalKeyProductFoundationsofChina 10 2 310 6 0 .
关键词 收益率 协方差矩阵 最优投资组合 有效边缘 组合扩展路径 return rate covariance matrix optimal portfolio efficient frontier portfolio expansion path
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参考文献6

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