现代投资组合理论最新进展评述  

New Directions in the Study of Modern Portfolio Theory:A Review

作　　者：郑振龙[1] 陈志英[2] 

机构地区：[1]厦门大学金融系,福建厦门361005 [2]西南政法大学经济学院,重庆401120

出　　处：《厦门大学学报（哲学社会科学版）》2012年第2期17-24,共8页Journal of Xiamen University(A Bimonthly for Studies in Arts & Social Sciences)

基　　金：国家自然科学基金项目"非完美信息下基于观点偏差调整的资产定价"(70971114);国家自然科学基金青年项目"投资者风险偏好:度量与应用"(71101121);教育部人文社科一般项目"市场有效性;价格发现与定价权争夺:基于人民币即期汇率和远期汇率的研究"(07JA790077);教育部留学回国人员科研启动基金项目"人民币即期与远期汇率关系及外汇市场协同稳定机制研究"(教外司留[2008]890)

摘　　要：现代投资组合理论是现代金融理论研究的起源和动力之一。经典资产组合选择模型用预期收益率的方差来度量,并同时基于一系列的前提假设。从现代投资理论组合的经典假设入手,沿着逐一放松经典假设这一线索,可以对现代投资组合理论的发展脉络作一个梳理。学者们对经典假设的放松使模型更为接近现实,贝叶斯投资理论、奈特不确定下的投资组合理论以及家庭资产配置理论等研究都取得了丰富成果,大大发展了传统理论。但目前实践运用和理论研究的差距还很大,如何将理论研究成果应用于金融业界实践,是当前亟待解决的问题。Modern portfolio theory（PT） was one of the motivating and driving forces behind the theorization on modern finance.Classical capital portfolio theory made evaluations by predicting the variance of rates of return on the basis of a series of assumptions.This paper aims at elucidating the route of development modern PT by looking into the classical assumptions of PT and observing how researchers relaxed them one after another.Researchers produced models closer to reality by relaxing those classical assumptions,such as Bayesian PT,PT under Knightian uncertainty,and household asset allocation theory,which have proved very productive and fruitful and enriched the traditional theory of PT.However,there is a huge discrepancy between theory and practice and the question of how theorization can better serve practice in the sphere of finance begs for a solution.

关 键 词：现代投资组合理论 贝叶斯投资组合理论 奈特不确定下的投资组合理论 家庭资产配置理论 行为投资组合理论 

分 类 号：F830[经济管理—金融学]