[1]周叶芹,吴 笛,黄 莉,等.现代资产组合理论在中国市场的创新与应用研究[J].金融教育研究,2019,(06):34-39.
　ZHOU Yeqin,WU Di,HUANG Li,et al.The Innovation and Application of theModern Portfolio Theory in China[J].,2019,(06):34-39.
点击复制

现代资产组合理论在中国市场的创新与应用研究()
分享到：

《金融教育研究》[ISSN:1006-6977/CN:61-1281/TN]

卷:
期数:
2019年06期
页码:
34-39
栏目:
金融论坛
出版日期:
2019-12-10

文章信息/Info

Title:
The Innovation and Application of theModern Portfolio Theory in China
文章编号:
2095-0098(2019)06-0034-06
作者:
周叶芹;  吴 笛;  黄 莉;  王祎晨;  周子栋
浙江工商大学 杭州商学院,浙江 杭州 311500
Author(s):
ZHOU Yeqin;  WU Di;  HUANG Li;  WANG Yichen;  ZHOU Zidong
Zhejiang Gongshang University Hangzhou College of Commerce,Hangzhou,Zhejiang 311500,China
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
Keywords:
Portfolio Theory;  Mean-Variance model;  Chinese Capital Market;  Applicability;  Portfolio Performance Appraisal
分类号:
F830.59
文献标志码:
A
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。
Abstract:
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.

参考文献/References:

[1]Markowitz H.Portfolio Selection.Theory & Practice of Investment Management:Asset Allocation Valuation Portfolio Construction & Strategies Second Edition[M].New jersey:John Wiley & Sons Inc,2011.
[2]齐岳,张喻姝.建设一流大学背景下投资组合理论与管理课程构建研究与探索[J].金融教育研究,2018(2):66-73.
[3]张鹏.不允许卖空情况下均值-方差和均值-VaR投资组合比较研究[J].中国管理科学,2008(4):30-35.
[4]林清泉,张建龙.均值-VaR模型的一种新解法:鞍点近似、遗传算法[J].数理统计与管理,2009(1):59-63.
[5]Michaud R O.The Markowitz Optimization Enigma:Is 'Optimized' Optimal?[J].Financial Analysts Journal,1989,45(1):31-42.
[6]Frankfurter G M,Phillips H E,Seagle J P.Portfolio Selection:The Effects of Uncertain Means,Variances,and Covariances[J].Journal of Financial & Quantitative Analysis,1971,6(5):1251-1262.
[7]曾颖苗,张珺,张晴.马科维茨模型在股市最优投资组合选择中的实证研究[J].湘潭师范学院学报:社会科学版,2009,31(4):88-91.
[8]李金鑫,涂巍,王治国,等.最优资产配置模型适用于中国股票市场吗[J].当代经济科学,2014,36(2):52-61.

备注/Memo

备注/Memo:
收稿日期:2019-06-21
作者简介:周叶芹(1964-),女,浙江嵊州人,教授,研究方向为金融统计。
更新日期/Last Update: 2019-12-10