[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]
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部分证券限制卖空的证券组合选择问题()
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《东南大学学报(自然科学版)》[ISSN:1001-0505/CN:32-1178/N]

卷:
31
期数:
2001年第5期
页码:
96-100
栏目:
数学、物理学、力学
出版日期:
2001-09-20

文章信息/Info

Title:
Problem of Portfolio Selection in Case of Some Stocks’ Short Sales Being Not Permitted
作者:
曹世勇 达庆利
东南大学经济管理学院,南京 210096
Author(s):
Cao Shiyong Da Qingli
College of Economics and Management, Southeast University, Nanjing 210096, China)
关键词:
证券组合选择 卖空 临界线
Keywords:
portfolio selection short sales critical line
分类号:
O29;F830
DOI:
10.3969/j.issn.1001-0505.2001.05.021
摘要:
马柯维兹针对AX=b的证券组合选择问题用临界线方法进行了深入地研究.本文研究了部分证券限制卖空的组合选择问题.研究发现:对部分证券限制卖空的组合选择问题可以运用类似于临界线算法的方法进行研究.运用这种方法可以得到一系列类似于所有证券限制卖空情形下马柯维兹所得到的结论,并可很方便地求出对部分证券限制卖空的组合选择问题的有效E-V组合集和完全非多余的资产组合集.本文的研究是对临界线算法应用方法上的拓展.
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:

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备注/Memo

备注/Memo:
作者简介:曹世勇,男,1972年生,博士研究生.
更新日期/Last Update: 2001-09-20