资产配置理论:研究综述与展望  

Asset Allocation Theory: Research Overview and Outlook

作　　者：周文渊[1] 高佳伟 安国志 Zhou Wenyuan;Gao Jiawei;An Guozhi(GuotaiJunan Securities Co.Ltd,Shanghai 200000,China;Dong Fureng Institute of Economic and Social Development,Wuhan University,Wuhan 430000,China;GuotaiJunan Hong Kong Investment Corporation,Hongkong 999077,China)

机构地区：[1]国泰君安证券股份有限公司,上海200000 [2]武汉大学董辅礽经济社会发展研究院,湖北武汉430000 [3]国泰君安香港投资公司,中国香港999077

出　　处：《金融理论探索》2022年第5期72-80,共9页Exploration of Financial Theory

摘　　要：通过理性人假设和最优化方法,新古典金融学建立了资产定价和资产配置的理论和模型。但是金融市场确实呈现随机性,量子理论中的不可测理论对金融市场也适用,以“异象”形式出现的无法解释的市场价格不断促使学者们扩充定价因子,并寻求建立行为金融资产定价的模型进行解释。基于资产定价模型的资产配置方法已经发展到将宏观因子纳入到配置模型之中,而基于金融异象的量化投资策略也成为资产配置领域的重要发展方向。Through hypothesis of rational man and optimization method, neoclassical finance established asset pricing and allocation theory and model. However, due to the randomness in financial market, the unmeasurability theory of quantum theory is also applicable in financial market. Market price, appeared in the form of “anomalies”and was hard to explain, forces scholars to constantly expand pricing factor and establish behavioral financial asset pricing model. The asset allocation method based on asset pricing model has included macro factors into allocation model, and quantification investment strategy based on financial anomalies has become an orientation of asset allocation.

关 键 词：资产配置 金融异象 投资策略量化 金融资产定价 

分 类 号：F832.6[经济管理—金融学]