现代投资组合理论应用及发展综述

马科维茨1952年经典之作《资产选择》开启了金融数理分析的先河,投资组合模型在理论和实践应用方面面临着众多的发展与挑战,其中包括交易成本、组合约束及模型对收益和方差的敏感性。另外,组合优化模型及相关领域同样也面临新的发展趋势,例如多元化方法、风险平价模型、混合不同观点收益和多期组合优化问题等,对这两个方面进行综述无论从学术角度还是实践角度对组合优化模型都是一个重要的补充。

A Summary of the Practical Application of Portfolio Theory and its Development Trend

Markowitz’s classic paper Portfolio Selection in 1952 opens the financial mathematical analysis, portfolio model in theory and practical application faces development and challenges, including transaction costs, combination of constraint, the model of income and the sensitivity of the variance. In addition, portfolio optimization and other areas also faces new development trends, such as diversified methods, risk parity model, return from different views, and many multi-period optimization problems. Whether it is viewed from the perspective of academic perspective or practice, this paper is an important supplement to portfolio optimization model.