摘要
Inordertogiveacompleteandaccuratedescriptionaboutthesensitivityofefficientportfoliostochangesinassets'expectedreturns,variancesandcovariances,thejointeffectofestimationerrorsinmeans,variancesandcovariancesontheefficientportfolio'sweightsisinvestigatedinthispaper.Itisprovedthattheefficientportfolio'scompositionisaLipschitzcontinuous,differentiablemappingoftheseparametersundersuitableconditions.Thechangerateoftheefficientportfolio'sweightswithrespecttovariationsaboutriskreturnestimationsisderivedbyestimatingtheLipschitzconstant.Ourgeneralquantitativeresultsshowthattheefficientportfolio''sweightsarenormallynotsosensitivetoestimationerrorsaboutmeansandvariances.Moreover,wepointoutthoseextremecaseswhichmightcausestabilityproblemsandhowtoavoidtheminpractice.Preliminarynumericalresultsarealsoprovidedasanillustrationtoourtheoreticalresults.
出版日期
2003年02月12日（中国期刊网平台首次上网日期，不代表论文的发表时间）
