资产收益率的相关系数为常数的开放式基金的投资组合

The Optimal Portfolios of Open Found Under the Assumption That the Risk Assets Are Constant Correlat

摘要: 基于开放式基金的特征,运用单指数模型分析了在风险资产常值相关的情况下开放式基金的最优投资组合,并讨论了不允许卖空的情况下风险资产常值相关时开放式基金的最优投资组合.

Abstract: Following the characteristic of the open found,the paper used the single-index method to analysis the optimum investment combination of the open found under the assumption that the risk assets are constant correlated,also discussed the optimum investment combination of the open found while it can not be short selling.