系统管理学报2009，Vol.18Issue(3)：291-296,308,7.
基于卖空成本的证券投资基金投资组合选择问题
A Portfolio Selection Model for Mutual Fund Considering the Cost of Short Selling
摘要
Abstract
We discussed the problem of portfolio selection for mutual fund when the cost of short selling is proportional to the price of stock. Furthermore, a portfolio selection model for mutual fund is presented combining with cost of short selling and investors'risk preference. The properties of existence of the optimal solution and the effective frontier of the model were discussed. Finally, an illustrative example was provided.关键词
证券/基金/卖空/有效边界/成本Key words
stock/mutual fund/short selling/effective frontier/cost分类
管理科学引用本文复制引用
王良,杨乃定,姜继娇..基于卖空成本的证券投资基金投资组合选择问题[J].系统管理学报,2009,18(3):291-296,308,7.基金项目
中国博士后科学基金资助项目(20080441172) （20080441172）
