现代资产组合理论在中国市场的创新与应用研究  

The Innovation and Application of theModern Portfolio Theory in China

作　　者：周叶芹 吴笛 黄莉 王祎晨 周子栋 ZHOU Yeqin;WU Di;HUANG Li;WANG Yichen;ZHOU Zidong(Zhejiang Gongshang University Hangzhou College of Commerce,Hangzhou,Zhejiang 311500,China)

机构地区：[1]浙江工商大学杭州商学院

出　　处：《金融教育研究》2019年第6期34-39,共6页Research of Finance and Education

摘　　要：现代资产组合理论是金融投资最为经典的理论之一,已经被广泛应用于美国的资产配置和组合选择业务。但是,理论界和实务界对于该理论本身的缺陷以及是否适用于我国股票市场一直存有较大争议。本研究根据理论构建了最小风险、最大夏普比的策略组合以及其他常用的策略组合,通过绩效评估指标对几种策略绩效进行比较以验证理论在国内的适用程度。In terms of financial investment,the modern portfolio theory is one of the most classical theories that is widely used in asset allocation and portfolio combination in the United States.Nevertheless,there has been argued that if there was defects of this theory theoretically as well as practically and whether it is applicable in Chinese stock market.Based on this theory,the essay constructs a portfolio and other asset strategies with minimum risk and mean-variance and compares performance appraisal index of different strategies to verify the applicability of Markowitz theory in China.Moreover,the essay conducts weight formula of portfolio theory and applies it to Chinese portfolio,which simplifies the computation of the model significantly.

关 键 词：资产组合理论 均值-方差 中国资本市场 投资组合业绩评价 

分 类 号：F830.59[经济管理—金融学]