The Open Fund's Optimal Portfolio Under The Single-Index Model And The Minimax Model

In the thesis , we use the single-index method and the minimax method to analyse the optimum investment combination of the open fund.Firstly, we establish the single-index model and get analytical expressions of the optimal portfolios . Secondly we discuss the optimal portfolios in terms of whether there are riskless assets, we also get the optimal portfolios on the assumption that the risk assets are constant correlated.The last we establish the minimax model .We offer the optimum investment combination of the open fund with this model and also get the optimal portfolios on the assumption that the risk assets are constant correlated.