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我写这篇文章的目的在于:对于仅含风险资产的MV资本市场,当每种资产的总供给等于总需求时,我们得出了非负均衡价格向量存在唯一的充分必要条件。另外,我们还为这个向量给出了一个明确的计算公式。一、前言(一)基本知识我们先来介绍两个模型:均值—方差模型和资本资产定价模型。均值一方差模型(简写为MV)是Markowitz~①以收益率的方差(或标准差)作为衡量证券的风险尺度,采用均值和方差两项评价指标,建立了单阶段组合投资的均值一方差模型。该模型的基本假设是:
The purpose of my article in this article is: For a MV capital market with risky assets only, we find the only necessary and sufficient condition for a nonnegative equilibrium price vector when the total supply of each asset equals the total demand. In addition, we also give a clear formula for this vector. I. Foreword (A) Basics Let’s first introduce two models: the mean-variance model and the capital asset pricing model. Mean-variance model (abbreviated as MV) is Markowitz ~ (1) Using the variance (or standard deviation) of the yield as the measure of the security risk, we use the mean and variance to establish the mean-variance model of single-stage portfolio investment . The basic assumptions of this model are: