投资组合理论

本文重点从现代投资组合理论角度出发，分析REITs所面临投资风险的多样性，研究REITs的投资风险规避方法。

This paper focuses on the modern portfolio theory , analyzing the risks can be faced by REITs , seeking the methods to avoid this risks .

由于资本资产定价模型（capm）和现代投资组合理论的广泛使用，美国国债收益率实际上已经成为整个投资界的灵魂。

The yield on US government debt is at the heart of virtually everything in the investment world thanks to the capital asset pricing model and modern portfolio theory .

其中，风险控制应用了风险规避及现代投资组合理论，风险评估采用VaR（ValueAtRisk）方法。

Risk control strategies are proposed based on the modern portfolio theory . Risk assessment is conducted with the methodology of VaR ( value at risk ) .

这条线叫做“效率界限”（EfficientFrontier），是Markowitz对投资组合理论的重要贡献。

This line is called the " Efficient Frontier " and is Markowitz 's key contribution to portfolio theory .

Markowitz投资组合理论在中国证券市场的应用

Efficient application of markowitz portfolio theory in security market of China

若假定市场数据服从正态分布，我们可以得到与马可维茨投资组合理论类似的结论，即线性相关性越小，投资组合的风险（VaR值）就越小。

If market data has Gaussian distribution , we can prove the smaller linear correlation is , the smaller VaR , of portfolio is .

建立在投资组合理论基础之上的CAPM模型和APT模型是现代资本市场理论的核心。

CAPM Model and APT Model based on the theory of investment combination is the core of mod - ern capital market theory .

将Copula函数和马柯维茨模型最优化投资组合理论结合，给出了基于Copula函数的最优投资组合算法。

And than combines Copula function and Markowitz model portfolio optimization theory , educe processes and procedures which determine the optimal portfolio .

自Markowitz创立投资组合理论以来，对证券投资风险计量的研究一直是金融投资研究的热点问题之一。

Since Markowitz created the portfolio combination theory , the research about the portfolio risk measure has been one of the hot issues .

但是需要明确的是，现代证券投资组合理论及CAPM模型、APT模型都是建立在一系列的假定的前提下，这些前提假设与现实的经济情况有一定的差异。

But we must make it clear that modern theory of investment , including CAPM and APT is based on a series of preconditions that are different from realities .

本文围绕Markowitz投资组合理论以及投资组合绩效评价模型在中国证券市场（以上海股票市场为例）的应用而展开。

The main content of this paper is about the application of Markowitz portfolio theory and its performance evaluation models in Chinese security market .

自从Markowitz证券投资组合理论的发表，投资组合就一直为业界和理论界所关注。

Since the theory of the portfolio brought forward by Markowitz , Investor and researcher show grade energy on the portfolio , the content .

另一方面，详细的讨论了现代投资组合理论的发展历程及其模型内容和假定条件，这里主要介绍Markowitz的均值&方差（M/V）理论、Sharpe的单指数模型，并简单说明了一下多指数模型。

On the other hand , I discuss the Markowitz 's means-variance theory , Sharpe 's Single-Index model , and simple multi-index model introduction .

1952年Markowiz创立了现代投资组合理论（MPT），标志着现代金融理论的诞生。

The publish of Portfolio Selection ( Modern Portfolio Theory , MPT ) ( Markowitz , 1952 ) indicates the birth of the modern finance theory .

从资产组合的VaR小于单个金融产品的VaR的结果看，VaR技术在股市风险测量上符合现代投资组合理论的基本思想。

From the results that the VaR value in financial asset portfolio less than the individual financial product , it indicates that the VaR technique in measuring stock market 's risk accords with the basic idea of modern portfolio theory .

根据Markowitz投资组合理论和传统的期望效用理论，在效用函数相同的情况下，所有的理性投资者都将采用相同的最优投资策略。

According to the theories of Markowitz ′ s investment portfolio and traditional expected utility , all rational investors with the same utility function will adopt the same optimal investment strategy .

现代投资组合理论的先驱Markowitz提出了均值方差模型，但该模型在求解最优投资组合时却面临误差累计、模型不稳定等一系列问题。

Markowitz , the pioneer of modern portfolio theory , proposed mean-variance mode , while a series of problems such as error accumulation and model instability arised when solving optimal portfolio .

文章的创新有两点：利用非参数方法估计尾部相关系数，将Copula函数和马柯维茨模型最优化投资组合理论结合，得出确定最优投资组合的步骤和程序。

One is using the non-parameter estimation to estimate tail-dependence coefficient , another is combines Copula function and Markowitz model portfolio optimization theory in order to educing processes and procedures which determine the optimal portfolio .

第一章从Markowitz的投资组合理论出发，建构了均值一方差模型并求取了有效边界，对放宽了限制条件的模型进行了拓展。

Chapter one introduces how to construct the mean-variance model based on Markowitz 's portfolio theory . Furthermore , the efficient frontier is derived , and the mean-variance model is extended to relax the constraints .

现代投资组合理论中风险测度方法的比较分析

Comparative Analysis on Risk Measure Methods in Modern Portfolio Investment Theory

于是出现了基于投资组合理论的现代套期保值比率。

Then the hedge ratio based on modern portfolio theory appeared .

而后根据最优投资组合理论确定最优投资组合。

Then according to optimal portfolio theory to determine optimal portfolio .

基于投资组合理论的企业国际化新解

A New Vision of Corporation Internationalization Based on Markowitz Portfolio Theory

第一章介绍了现代经典投资组合理论和投资组合理论的最新发展。

Chapter one introduces the classic portfolio theor and its recent development .

现代证券投资组合理论在我国应用的局限与思考

Limitation of the Application of Modern Portfolio Theory in China and Reflection

动态均值-方差投资组合理论在油田勘探开发项目中的应用

Application of Dynamic Mean-Variance Portfolio Selection Theory in Oilfield Exploitation and Development

开放式基金投资组合理论及策略研究

Research on Investment Portfolio Theory Tactics of Open-end Fund

证券投资组合理论实证分析

The Positve Analysis on the Security Portfolio Investment Theory

西方现代投资组合理论与我们当前的投资策略

Modern Portfolio Theory And Our Investment Strategy At Present

证券投资组合理论与方法研究

Study on the Theory and Method of Securities Portfolio