不允许卖空的投资组合M-V有效前沿的漂移分析

分析了不含无风险资产的投资组合在不允许卖空的情况下MV有效前沿的结构,以及当证券数目增加(或减少)k种时MV有效前沿的变化情况,得到了有效前沿的运动规律:当可选证券数目增加时有效前沿向下方漂移;当可选证券数目减少时有效前沿向上方漂移.并给出了有效前沿的漂移角度及漂移距离公式.;This paper studies the structure of M-V portfolio efficient frontier with no short sales and its changes when the number of securities increases or decrease by k. The movement rule of the portfolio efficient frontier is derived as follows:the efficient frontier shows a downward movement with the numbers of securities increasing, and an upward movement with the decreasing numbers of securities. The angle of fluctuation and the distance formula are obtained