论文标题
均值优化的投资组合是为参考安全性投资的，倾向于偏爱公认的证券集
A mean-variance optimized portfolio constructed for investment in a reference security, for an investor with a preference towards an accepted set of securities
论文作者
论文摘要
我们认为参考安全性，被认为是一项有吸引力的投资，需要警告，即投资者不愿意直接投资于安全性，以在场，无论是投资者特定的还是与安全本身有关的。但是，投资者对使用公认的证券构建的投资组合开放，在该投资组合中可以将收益视为类似于参考安全性。我们证明，根据Markowitz的定义，可以以相似性的衡量标准以均值差异表征选择这种投资组合。此外，我们以Sharpe比率考虑了相对于参考安全性的性能。本文的目的是获得最佳投资组合，以解决投资者对公认的证券集的偏好。
We consider a reference security, understood to be an attractive investment, with the caveat that an investor is not willing to directly invest in the security, for presence of constraints, either investor specific or pertaining to the security itself. The investor, however, is open to a portfolio constructed with an accepted set of securities, where returns could be considered similar to the reference security. We demonstrate, under a measure of similarity, such a portfolio could be selected with a mean-variance characterization, as defined by Markowitz. Furthermore, we consider the performance relative to the reference security, with the Sharpe Ratio. The objective of the paper is to derive an optimal portfolio to address an investor preference for the accepted set of securities.
