风险资产市场组合的替代品问题的理论探讨

Abstract

Abstract: The problem of choosing a substitute for the market portfolio of risk assets in CAPM is discussed.It is pointed out that only the market index portfolio formed by arithmetic average index can properly replace the real market portfolio.By selecting s representatives of risk assets,the conditions of choosing a valid assets portfolio from the s representatives as a substitute for the real market protfolio are obtained.The new and comparatively complete proofs in which the two kinds of valid forward positions of asset portfolios are tangent have been shown.

Key words: capital assets pricing model(CAPM), valid assets portfolio, market portfolio

CLC Number:

ZOU Hui-wen, TANG Bing-yong . Study of Choosing a Substitute for the Market Portfolio of Risk Assets[J]. Chinese Journal of Management Science, 2004, (5): 17-22.

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Study of Choosing a Substitute for the Market Portfolio of Risk Assets

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