现代投资组合理论及在我国的应用研究
摘要
1952年，马柯维茨发表的《投资组合选择》这篇后来获得诺贝尔经济学奖的论文，拉开了现代投资组合理论的序幕，使投资者特别是机构投资者的投资决策从理论提出前的“谚语式”的朴素决策阶段飞跃到有严密的理论作指导的科学决策阶段。以后经过他的学生夏普等一大批经济学家的不懈努力，这一理论得到了飞速发展。我国自90年代初引入这一理论来，也取得了较大的发展，越来越得到了投资者的认同。但不可否认，由于我国证券市场成立的时间不长，证券从业人员的素质参差不齐，这方面的研究谈不上取得重大突破，主要表现在不以理解这一理论的精髓，运用时不考虑我国证券市场的实际情况，不能通过模型的运用来深刻剖析中国的证券市场。本文对中国的证券市场进行了规范研究和实证研究，系统地研究了投资决策的原则及投资组合中收益与风险的关系；CAPM和APT这两个资本市场均衡模型对于实际的证券市场的不足及改进办法，我国的证券市场运用模型的局限以及由运用模型而导出的我国资本市场的局限，绩效评估模型在运用中存在的误区。
In 1952, H. M. Markowitz' s(Portfolio Slection), which was later
awarded the Nobel Prize for Economics, marked a prelude to the theory of modern portfolio.
enabling the investers, especially the instiutional investors to make their investment decision
from the "proverbial" stage of plain-decision prior to the stage of scientific decision, which
is directed by the theory. Later, with the hard work of his student W. F. Sharpe and a large
group of economists, this theory was ful ly developed. Since the theory was introduced into
our country in the 1990' s, it has been greatly developed as well, and has received more and
more recognition by the investors. Howerver , it is a fact that studies and reserches according
to this theory has not achieved most important results, since the securities business in our country
was founded not long ago,and the quilities of the staff in this business are not equal. This lesds to the failure of understanding the essence about this theory of considering the pratical situation in our country when putting the theory into use of analyzing Chins' securities business through the application of models.This thesis,by the way of practical and standard analysis of China" s securities business, tend to make a systematic reserch on the principles of investment decisions, as well as the relationship between benefits and risks in portfolio;the deficiency and improvement of CAPM and APT fo the practical securities business; the limitation of the application of models in our securi ties business and the limatation
of the capital market in our country caused by the application of models,and the misundering in the application of the portfolio performance evaluation model.
In 1952, H. M. Markowitz' s(Portfolio Slection), which was later
awarded the Nobel Prize for Economics, marked a prelude to the theory of modern portfolio.
enabling the investers, especially the instiutional investors to make their investment decision
from the "proverbial" stage of plain-decision prior to the stage of scientific decision, which
is directed by the theory. Later, with the hard work of his student W. F. Sharpe and a large
group of economists, this theory was ful ly developed. Since the theory was introduced into
our country in the 1990' s, it has been greatly developed as well, and has received more and
more recognition by the investors. Howerver , it is a fact that studies and reserches according
to this theory has not achieved most important results, since the securities business in our country
was founded not long ago,and the quilities of the staff in this business are not equal. This lesds to the failure of understanding the essence about this theory of considering the pratical situation in our country when putting the theory into use of analyzing Chins' securities business through the application of models.This thesis,by the way of practical and standard analysis of China" s securities business, tend to make a systematic reserch on the principles of investment decisions, as well as the relationship between benefits and risks in portfolio;the deficiency and improvement of CAPM and APT fo the practical securities business; the limitation of the application of models in our securi ties business and the limatation
of the capital market in our country caused by the application of models,and the misundering in the application of the portfolio performance evaluation model.
引文
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