现代投资组合理论应用及发展综述  

A Summary of the Practical Application of Portfolio Theory and its Development Trend

作　　者：赵庆[1] 王志强[1] 

机构地区：[1]东北财经大学金融学院,辽宁大连116025

出　　处：《浙江工商大学学报》2015年第1期82-91,共10页Journal of Zhejiang Gongshang University

基　　金：国家自然科学基金"基于时变参数的学习机制;利率行为与政策效果研究"(71173030)

摘　　要：马科维茨1952年经典之作《资产选择》开启了金融数理分析的先河,投资组合模型在理论和实践应用方面面临着众多的发展与挑战,其中包括交易成本、组合约束及模型对收益和方差的敏感性。另外,组合优化模型及相关领域同样也面临新的发展趋势,例如多元化方法、风险平价模型、混合不同观点收益和多期组合优化问题等,对这两个方面进行综述无论从学术角度还是实践角度对组合优化模型都是一个重要的补充。Markowitz＇s classic paper Portfolio Selection in 1952 opens the financial mathematical analysis, portfolio model in theory and practical application faces development and challenges, including transaction costs, combination of constraint, the model of income and the sensitivity of the variance. In addition, portfolio optimization and other areas also faces new devel- opment trends, such as diversified methods, risk parity model, return from different views, and many multi-period optimization problems. Whether it is viewed from the perspective of academic perspective or practice, this paper is an important supplement to portfolio optimization model.

关 键 词：投资组合 实践应用 发展趋势 

分 类 号：F830.91[经济管理—金融学]