free to frontier 中文意思是什麼
free to frontier
解釋
邊境站費用已付-
The cml is considered to be superior to the efficient frontier since it takes into account the inclusion of a risk - free asset in the portfolio
Cml被認為對有效邊界來說是更高級的，因為它考慮到了投資組合的無風險資產的內容。 -
The cml is derived by drawing a tangent line from the intercept point on the efficient frontier to the point where the expected return equals the risk - free rate of return
Cml來自於從有效邊界上的截取點到預期回報等於無風險回報率的點畫一條切線。 -
Following, making development study from the three directions : the first one is how to reduce calculation when to use markowitz model. this text has improved the efficient frontier of markowitz model utilizing free risk assets, and reduced calculation about revenue rates " co - variance matrix utilizing single or multiple factors, and so on. the second one is to add thinking factors about, such as transaction fee, fund limitation, lowest transaction unit ' s limitation, risk measures and exchange rate risk of international portfolio securities, so as to make markowitz model closer to our country ' s practice
接著，分三今方向對markowitz模型進行了拓展研究：第一個方向是運用markowitz模型時如何減少計算量，本文利用無風險資產來改進markowitz模型的有效邊界，利用單因子或多因子模型來減少收益率協方差的計算量等等；第二個方向是增加考慮因素，諸如交易費用、資金限制、最小交易單位限制，風險測度和國際組合證券的匯率風險，使markowitz模型更貼近我國的實際；第三個方向是對markowitz模型進行動態拓展研究，提出了將證券收益率看成是隨機序列時的投資決策模型，深入研究了m ? v有效邊界隨資產品種數增加而發生的漂移，並用解析方法和幾何圖形描述了漂移的軌跡和方向。
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