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本文研究了M V证券投资组合灵敏度分析方法 .考虑了不存在无险资产时证券预期收益率和协方差矩阵存在扰动的情形 ,给出了最优投资组合有效边缘的漂移方程及组合扩展路径
In this paper, the sensitivity analysis of M V portfolio is studied. Considering the existence of disturbances in expected return and covariance matrix in the absence of risk-free assets, the effective edge drifting equation and portfolio expansion path