| 刘小玲,安雪梅.不同借贷利率下投资组合的有效前沿[J].,2003,4(4):13-15,20 |
| 不同借贷利率下投资组合的有效前沿 |
| The Efficient Frontier of Portfolio in Different Borrowing and Lending Rates |
| 修订日期：2003-07-12 |
| DOI： |
| 中文关键词: 市场投资组合,有效前沿,资本市场线 |
| English Keywords:different borrowing and lending rate,capital market line,efficient frontier |
| Fund Project: |
| LIU Xiao-ling AN Xue-mei |
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| 中文摘要: |
| 文章研究了不同借贷利率下投资组合的有效前沿,并运用我们自己创立的一种几何方法给出了该有效前沿的方程。首先把Markowitz模型的有效前沿用投资组合的权重向量表示出来,然后将不同借贷利率下的资本市场线(CML)也用投资组合的权重向量表示出来,再由CML的定义在Markowitz模型的有效前沿上分别求出不同借贷利率下资本市场线与Markowitz模型有效前沿的切点,同时也得到不同借贷利率下CML的斜率,这样我们就得到了不同借贷利率下投资组合的有效前沿。 |
| English Summary: |
| The capital-asset pricing model (CAPM) discovered by Sharp (1964), Lintner (1965) and Mossin (1966) is a general equilibrium model. It not only allows improved understanding of market behavior, but also provides practical benefits. At the same time, it also provides a practical mechanism for evaluating performance in a risk-adjusted mode. This model thus provides the initial basis for the practical implementation of the many aspects of portfolio analysis. So it is necessary to study the portfolio problem in different borrowing and lending rate. In this paper, we study the efficient frontier of portfolio in different borrowing and lending rate and set the equation of this frontier with a new way that is established by us. |
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