证券投资组合理论在中国的适用性分析及其改进  

Applicability Analysis and Improvement About Portfolio Investment Theory in China

作　　者：贾晓东[1] 潘德惠[1] 陶艳秋[1] 

机构地区：[1]东北大学工商管理学院,辽宁沈阳110004

出　　处：《东北大学学报（自然科学版）》2002年第8期754-757,共4页Journal of Northeastern University(Natural Science)

基　　金：国家重点科技攻关项目 ( 97 5 6 2 0 3 0 1)

摘　　要：对马克维茨 (Markowitz)投资组合 (Portfolio)模型进行了阐述 ,即投资者进行决策时总希望用尽可能小的风险获得尽可能大的收益 ,或在收益率一定的情况下 ,尽可能降低风险·并且针对马克维茨投资组合模型假设条件中的市场效率、风险测度、参数估计时效性、零交易费用等假设条件进行了分析 ,提出了马克维茨证券组合理论在我国运用存在的主要问题 ,并对组合证券投资优化模型的改进提出了自己的思路·The Markowitz portfolio model was put forward. That is, when investors are making decision, they always hope to obtain maximum yield instead of minimum venture, or the investors often do their best efforts to reduce venture in front of definite yield. The hypothesis conditions of Markowitz portfolio model were analyzed, such as market efficiency,venture measure, parameter estimate time-availability, zero bargain fee, and so on. The main problems about Markowitz portfolio theory in China were put forward and a new idea on optimal portfolio investment model improvement was expounded.

关 键 词：中国 适用性 系统决策 证券投资组合 投资收益 预期收益率 证券市场 投资组合模型 

分 类 号：F832.51[经济管理—金融学] F832.48