现代投资组合理论的新进展  

Recent Advances in Modern Portflio Theory

作　　者：罗洪浪[1] 王浣尘[1] 

机构地区：[1]上海交通大学安泰管理学院,上海200052

出　　处：《系统工程理论方法应用》2002年第3期185-189,197,共6页Systems Engineering Theory·Methodology·Applications

摘　　要：现代投资组合理论虽已诞生了半个世纪 ,但有关它的研究仍层出不穷。文中考察了近十年来有关现代投资组合理论的新进展 ,将之大致分为引入流动性的投资组合理论、基于 Va R的投资组合理论、行为投资组合理论和基于非效用的投资组合理论等四类 ,并阐述了各自的主要内容。最后 ,简要地评论了这些进展。Although modern portfolio theory was born fifty years ago, academic articles related to it still emerge in an endless stream. In this paper, we examine recent ten years' advances in modern portfolio theory and divide them into four parts, i.e.liquidity introduced portfolio theory, VaR based portfolio theory, behavioral portfolio theory, and non utility based portfolio theory, and describe their present respective main contents. Finally, a brief comment on these four parts is made.

关 键 词：投资组合理论 流动性 风险价值 行为投资组合 非效用 

分 类 号：F830.59[经济管理—金融学]