# [1]曹世勇,达庆利.部分证券限制卖空的证券组合选择问题[J].东南大学学报(自然科学版),2001,31(5):96-100.[doi:10.3969/j.issn.1001-0505.2001.05.021] 　Cao Shiyong,Da Qingli.Problem of Portfolio Selection in Case of Some Stocks’ Short Sales Being Not Permitted[J].Journal of Southeast University (Natural Science Edition),2001,31(5):96-100.[doi:10.3969/j.issn.1001-0505.2001.05.021] 点击复制 部分证券限制卖空的证券组合选择问题() 分享到： var jiathis_config = { data_track_clickback: true };

31

2001年第5期

96-100

2001-09-20

## 文章信息/Info

Title:
Problem of Portfolio Selection in Case of Some Stocks’ Short Sales Being Not Permitted

Author(s):
College of Economics and Management, Southeast University, Nanjing 210096, China)

Keywords:

O29;F830
DOI:
10.3969/j.issn.1001-0505.2001.05.021

Abstract:
With AX=b, XTμ=E,X∈{X|X≥0}, a problem of portfolio selection has been deeply studied by Markowitz with the method called the Critical Line Algorithm. This article discusses the problem while only some of the assets’ short sale being permitted. The article finds that the problem that only some of the assets’ short sales are permitted can be solved by the method, which resembles the method called Critical Line Algorithm. A series of conclusions can be got, and these conclusions resemble those obtained by Markowitz when assets’ short sale is not permitted. With the method presented in this article, the E-V set and the totally non-abundance portfolio set can be obtained. The article develops the application of critical line algorithm.

## 参考文献/References:

[1] 唐小我,傅庚,曹长修.非负约束下组合证券投资决策方法研究.系统工程,1994,8(12):23～29
[2] 曾勇,唐小我.限制卖空情况下组合证券有效边界的特征和确定方法.管理工程学报,1997,9:147～154
[3] 曾勇,唐小我,王竹.确定组合证券投资有效边界的参数线性规划方法.管理工程学报,1996,10(1):47～53
[4] 曹世勇,成央金.限制卖空情况下组合证券组合投资及关于多余证券问题的一些探讨.预测,1999,10(2):47～48
[5] 陈收,赵禹骅.证券组合投资有效集与有效边界的研究.湖南大学学报,1995,34(2):123～127
[6] 陈收,赵禹骅.证券组合投资有效集与有效边界的确定方法的研究.管理工程学报,1997,8(2):82～88
[7] Markowitz H.Mean variance analysis in portfolio choice and capital markets.Basil Blackwell:Oxford,1987.1～308
[8] Markowitz H.Portfolio selection:efficient diversification of investments.2nd ed.Cambridge:Basil Blackwell,1991.1～354