A Theoretical Construction and Empirical Analysis of the Portfolio added Liquidity
Guangwei Wu · Systems Engineering - Theory & Practice · 2007
In order to reflect the importance of 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 and risk in many aspects, such as return increasing,risk avoiding and so on.