资本结构变化对组合投资有效边界的影响

中国管理科学 ›› 2001, Vol. ›› Issue (1): 6-11.

资本结构变化对组合投资有效边界的影响

陈收¹, 邓小铁², 汪寿阳³, 刘卫国¹

1. 湖南大学工商管理学院, 湖南长沙 410082;
2. 香港城市大学计算机科学系, 九龙中国香港;
3. 中国科学院数学与系统科学研究院系统科学研究所, 北京 100080

收稿日期:2000-06-26 出版日期:2001-02-28 发布日期:2012-03-06
基金资助:
国家自然科学基金资助项目(79870031;79910761860);香港RGC及香港CityU资助

Impact on the Efficient Frontier of Portfolio of Varying Capital Structure

CHEN Shou¹, DENG Xiao-tie², WANG Shou-yang³, LIU Wei-guo¹

1. International Business School, Hunan University, Changsha 410082, China;
2. Department of Computer Science, City University of Hong Kong, Kowloon, Hong Kong;
3. Institute of Systems Science Academy of Mathematics and Systems Sciences, Chinese Academy of Sciences, Beijing 100080, China

Received:2000-06-26 Online:2001-02-28 Published:2012-03-06

摘要/Abstract

摘要： 在经典的组合投资均值-方差模型基础上,本文考虑融资因素对组合投资优化的影响,引入资本结构摩擦因子,研究其对组合投资有效边界的影响;给出了含资本结构摩擦因子作用的组合投资有效边界解析式,以及该有效边界根据资本结构因子取值而移动、变化的性质。

关键词: 组合投资, 资本结构因子, 有效边界

Abstract: We are interested in the impact of friction factors on portfolio optimization. In this article, we focus on the dependency of the efficient frontier on restriction in the borrowing rate of investment firms, as a function of their capital structures. We establish analytic results under the mean-variance model.

Key words: portfolio selection, capital structure, efficient frontler

中图分类号:

C931
F224

陈收, 邓小铁, 汪寿阳, 刘卫国. 资本结构变化对组合投资有效边界的影响[J]. 中国管理科学, 2001, (1): 6-11.

CHEN Shou, DENG Xiao-tie, WANG Shou-yang, LIU Wei-guo. Impact on the Efficient Frontier of Portfolio of Varying Capital Structure [J]. Chinese Journal of Management Science, 2001, (1): 6-11.

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