论巴菲特的投资策略  

ON WARREN BUFFETT'S INVESTMENT STRATEGY

作　　者：刘振亚[1] LIU Zhenya(China Financial Policy Research Center and School of Finance,Renmin University of China)

机构地区：[1]中国财政金融政策研究中心、中国人民大学财政金融学院,100872

出　　处：《经济理论与经济管理》2023年第6期106-112,共7页Economic Theory and Business Management

摘　　要：在过去近六十年的时间里,巴菲特的投资业绩大大超过了标普500指数,引得广大投资者纷纷追随并效仿其投资策略。本文从现代金融理论出发,为巴菲特在实践中所坚持的“注重基本面分析”和“集中投资”法则提供了学术注解。首先,本文利用价格理性预期模型,揭示了关注未来公司基本面信息在股票定价中的核心地位。在模型中引入泡沫项后,股价随机过程的同源性启示投资者应理性看待由泡沫过程引起的价格剧烈波动。其次,本文通过引入方差更小的基本面变量,阐释了巴菲特何以应用莫顿最优解来集中持股。最后,本文还探讨了以上理论对促进我国资产管理行业长足发展的政策启示。Over the past six decades,Warren Buffett's investment strategy has significantly outperformed S&P 500 Index,which attracted a lot of investors'attention in the market to track and follow his strategy.From the modern finance theory,this paper gives insights into Buffett's investing principles of emphasizing fundamental analysis and maintaining a concentrated portfolio.Using the rational expectation model,this paper reveals the central role of future firm fundamentals in stock pricing.When adding a bubble term to the model,the stock price has the same solution.Therefore,investors should rationally see price fluctuations originating from the bubble process.Moreover,this paper explains the philosophy of concentrated portfolio choice with Merton's optimal investing strategy.In addition,this paper shows the implications of these insights for the asset management industry in China.

关 键 词：巴菲特 价格预期 股价泡沫 基本面变量 集中投资 

分 类 号：F831.5[经济管理—金融学] F832.2