| 流动性在组合投资管理中的认识 |
| |
| 引用本文： | 姚亚伟.流动性在组合投资管理中的认识[J].当代经济管理,2009,31(10):85-89. |
| |
| 作者姓名： | 姚亚伟 |
| |
| 作者单位： | 上海师范大学,金融学院,上海,200234 |
| |
| 基金项目： | 国家自然科学基金资助项目《证券市场流动性价值理论与实证分析技术》 |
| |
| 摘 要： | 在传统的均值-方差模型中,“市场流动性是充分的”假设使投资者忽略了流动性在组合投资管理中的重要性。流动性作为金融资产的三大属性之一,体现并作用于组合投资管理整个过程中。本文从流动性的内涵、流动性的股票交易特征、流动性与均值-方差模型的结合及行业流动性对组合投资的影响等角度探讨了流动性在组合投资管理中的作用,将组合投资的思维从二维空间拓展至三维空间,丰富了现代资产组合选择理论。
|
| 关 键 词： | 流动性 组合管理 均值-方差模型 |
Liquidity in the Portfolio Management |
| |
| Yao Yawei.Liquidity in the Portfolio Management[J].Contemporary Economic Management,2009,31(10):85-89. |
| |
| Authors: | Yao Yawei |
| |
| Institution: | Yao Yawei ( Finance College,Shanghai Normal University,Shanghai 200234,China) |
| |
| Abstract: | In the traditional mean-variance model, the assumption that the market liquidity is sufficient leads investors to ignore the importance of liquidity in the portfolio management. As one of three attributes of financial products, liquidity is reflected and takes effect on the whole process of portfolio investment management. This paper analyzes the functions of liquidity in the portfolio management from the essence of liquidity, the stock trading characters of liquidity, the liquidity-mean-variance model and ... |
| |
| Keywords: | liquidity portfolio management mean-variance model |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
