HJ随机折现因子框架下的均值－方差张成研究──基于两基金分离定理的方法

The Study of Mean-Variance Spanning Under the Framework of the HJ SDF

摘要: 借助两基金分离定理，在HJ随机折现因子的框架下对均值－方差张成进行了研究.首先研究了HJ随机折现因子的性质，得到了一些有意义的结论；然后结合HJ随机折现因子的性质和两基金分离定理，对均值－方差张成进行了研究，得到了相应的张成条件；最后，从数学上证明，基于HJ随机折现因子得到的张成条件与基于其它方法得到的张成条件是等价的.

Abstract: The mean-variance spanning under the framework of HJ SDF with the help of two fund separation theorem is studied. Firstly properties of the HJ SDF are revealed, some useful conclusions are obtained. Then by the HJ SDF's properties and the two fund separation theorem, the mean-variance spanning is investigated and the spanning condition is gotten. It is proved by the mathematical method that the spanning condition gotten from the HJ SDF is equivalent to the spanning condition gotten from the other methods.