q-零协方差资产组合前沿

北京大学学报（自然科学版）

q-零协方差资产组合前沿

王一鸣

北京大学经济学院金融系，北京，100871

收稿日期:1999-10-10 出版日期:2000-09-20 发布日期:2000-09-20

q-Zero-covariance Portfolio Frontier

WANG Yiming

School of Economics, Peking University, Beijing, 100871

Received:1999-10-10 Online:2000-09-20 Published:2000-09-20

摘要/Abstract

摘要： 探讨了资本市场里非前沿资产组合的结构特征，提出一个更具一般性的概念——q-零协方差资产组合前沿，在σ²(r)—E［r］坐标平面中刻画了其几何结构。通常使用的前沿资产组合的零协方差资产组合是它的退化型特例，资产组合前沿是所有q-零协方差资产组合前沿的包络线。

关键词: 资产组合前沿, 资产前沿组合, q-零协方差资产组合前沿

Abstract: Unlike the literature.this paper mainly discusses the characteristics of the portfolio which isn't on the portfolio frontier. A more general concept—q-zero-covariance portfolio frontier is proposed, and its geometric configuration is depicted in the σ₂(r)—E［r］ space. The usual zero covariance portfolio of the frontier portfolio is its degenerate case, and the portfolio frontier is the envelope of our q-zero-covariance portfolio frontier as q moves.

Key words: portfolio frontier, frontier portfolio, q-zero-covariance portfolio frontier

中图分类号:

王一鸣. q-零协方差资产组合前沿[J]. 北京大学学报（自然科学版）.

WANG Yiming. q-Zero-covariance Portfolio Frontier[J]. Acta Scientiarum Naturalium Universitatis Pekinensis.

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链接本文: https://xbna.pku.edu.cn/CN/

https://xbna.pku.edu.cn/CN/Y2000/V36/I5/608