最优投资组合差异系数σ/μ的 性质与确定方法
Property of Difference Coefficientσ/μ for Optimal Portfolio and Its Determination
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摘要:首先分析研究了Markowitz均值-方差模型在一般条件下即允许卖空条件下的差异系数的存在性、唯一 性和最优值的解法,在此基础上分析证明了更具实际意义的在非卖空条件下该模型的差异系数最优值的存在性 和唯一性,给出了差异系数的数学表达式,并提供了一种解法及其实现的具体方法步骤,最后依据此方法对实例 进行了分析验算.Abstract:On the basis of Markowitz s mean-variance model subject to the condition of short sale, the existence and uniqueness of the difference coefficient and its optimal solution are discussed. And under the more practical condition of no short sale, the above properties are proven. The mathematical expression of the coefficient under the condition of no short sale and its solving process are given. Finally, a real example is calculated.
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