| 组合证券投资有效边界的进一步研究 |
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| 引用本文： | 曾勇,唐小我.组合证券投资有效边界的进一步研究[J].电子科技大学学报(社会科学版),1996(1). |
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| 作者姓名： | 曾勇 唐小我 |
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| 作者单位： | 电子科技大学管理学院 |
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| 基金项目： | 国家教委优秀年轻教师基金 |
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| 摘 要： | 研究了不允许卖空情况下有效证券组合的结构特征，证明了其有效边界由一系列开口向上的抛物线段光滑连接而成，给出了连续确定有效证券组合构成变动及相应的有效边界的方法，并将有关结果推广到考虑外汇套期保值的国际组合证券投资决策中。
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| 关 键 词： | 组合证券 有效边界 卖空 外汇暴露 套期保值 |
Further Study of Efficient Frontiers of Portfolios |
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| Zeng Yong,Tang Xiaowo.Further Study of Efficient Frontiers of Portfolios[J].Journal of University of Electronic Science and Technology of China(Social Sciences Edition),1996(1). |
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| Authors: | Zeng Yong Tang Xiaowo |
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| Abstract: | on Kuhn-Tucker condition,the structural properties of efficient portfolios given expected rate of return are studied under the constraint of non-negative portfolio weights.The general form of efficient frontiers of portfolios without short sales is proved to be piecewise parabolic and continuously differentiable.The method for continuously determining the structure change of efficient portfolios and accordingly the efficient frontier is developed with the conditions for introductng a security into or excluding a security from efficient portfolios being discussed.Furthermore, the resultS are extended to international portfolio investment based on integration of the decision of diversifying the international portfolio risk and the decision of hedging the currency exposure,and some meaningful points are concluded from an empirical study. |
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| Keywords: | portfolio efficient frontier short selling currency exposure hedging |
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