主管:中国科学院
主办:中国优选法统筹法与经济数学研究会
   中国科学院科技战略咨询研究院

Chinese Journal of Management Science ›› 2001, Vol. ›› Issue (1): 6-11.

Previous Articles     Next Articles

Impact on the Efficient Frontier of Portfolio of Varying Capital Structure

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

  1. 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

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

CLC Number: