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摘要翻译：
在包含无风险资产的市场中，单期均值-方差有效前沿是一条与风险区域相切的直线，这是经典CAPM的基础。本文证明了在连续时间市场中，当风险价格由Ito过程描述，投资机会集是确定性的（尽管是时变的），任何有效的投资组合都必须在任何时间配置无风险资产。因此，动态均值-方差有效边界，尽管仍然是一条直线，但严格高于整个风险区域。这反过来表明，就有效边界的夏普比率而言，动态交易产生了正溢价。另一个含义是，无风险资产的纳入提高了有效边界的夏普比率，这再次与单期资产形成鲜明对比。
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英文标题：
《The premium of dynamic trading》
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作者：
Chun Hung Chiu and Xun Yu Zhou
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最新提交年份：
2009
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
It is well established that in a market with inclusion of a risk-free asset the single-period mean-variance efficient frontier is a straight line tangent to the risky region, a fact that is the very foundation of the classical CAPM. In this paper, it is shown that in a continuous-time market where the risky prices are described by Ito's processes and the investment opportunity set is deterministic (albeit time-varying), any efficient portfolio must involve allocation to the risk-free asset at any time. As a result, the dynamic mean-variance efficient frontier, though still a straight line, is strictly above the entire risky region. This in turn suggests a positive premium, in terms of the Sharpe ratio of the efficient frontier, arising from the dynamic trading. Another implication is that the inclusion of a risk-free asset boosts the Sharpe ratio of the efficient frontier, which again contrasts sharply with the single-period case.
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PDF链接：
https://arxiv.org/pdf/0906.0999
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