%0 Journal Article
%T A Theoretical Construction and Empirical Analysis of the Portfolio added Liquidity<br>引入流动性的证券投资组合模型构建与实证分析
%A XU Li-mei
%A WU Guang-wei
%A <br>徐丽梅
%A 吴光伟
%J 系统工程理论与实践
%D 2007
%I 
%X In order to reflect the importance of liquidity to open-end fund portfolio,the paper creatively added "liquidity" to Markowitz's "mean-variance" model,and by constructing "steadiness factor" constructed an available boundary of a portfolio in a three-dimensional space that was determined by "return","risk" and "steadiness factor".The demonstration indicates: the three-dimensional portfolio that is added "steadiness factor" excels the two-dimensional portfolio that is determined only by "return" and "risk" in many aspects, such as return increasing,risk avoiding and so on.
%K portfolio
%K liquidity
%K steadiness factor
%K available boundary<br>投资组合
%K 流动性
%K 稳健因子
%K 有效前沿
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=8C1D14DCC470EF58&yid=A732AF04DDA03BB3&vid=DB817633AA4F79B9&iid=B31275AF3241DB2D&sid=23CCDDCD68FFCC2F&eid=A04140E723CB732E&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=0&reference_num=11