摘要
分析了指数期货的引入在扩展由于卖空限制所缩减的组合证券投资机会空间、从而提高风险配置效率方面的作用，讨论了不允许卖空但引入指数期货情况下组合证券选择问题和证券组合空间的生成问题，推广了组合证券选择和基金分离理论的有关结果．
In this paper, we show the introduction of stock index futures can increase the efficiency of risk allocation by expanding the opportunity space of portfolio investment, which is reduced by the restriction of short selling. Based on this, portfolio selection and spanning of feasible and efficient set of portfolios are discussed, and the results on portfolio selection and mutual-fund separation without short sale restrictions are extended to the case in which short selling is prohibited but stock index futures contracts are intruduced.
出处
《系统工程学报》
CSCD
1999年第3期265-271,共7页
Journal of Systems Engineering
基金
国家杰出青年科学基金
关键词
组合证券选择
指数期货
基金分离定理
证券市场
portfolio selection, short selling, stock index futures, spanning, mutual fund separation theorems
