摘要
利用均值-方差模型,讨论了当三种风险资产的方差-协方差矩阵退化时,投资组合的组合边界,得到了不同情形下的组合边界的表达式,并分析了其本质特征,为制定合理的投资组合提供了一种好的思路。
By use of average value - variance model, the paper discusses the combination boundary of investment combination when the variance - covariance matrix of three kinds of risk assets degenerates, obtaining expression of combination boundary under different conditions. It analyses the essential features of the combination boundary so as to provide a good idea for the reasonable investment combination.
出处
《新余高专学报》
2004年第5期12-14,共3页
Journal of XinYu College
关键词
退化
组合边界
投资组合
套利
Degeneration
Combination boundary
Investment combination
Interest arbitrage
