论文标题
有效的投资组合
Efficient Portfolios
论文作者
论文摘要
给定两个随机实现的投资回报，这是首选的？这是财务中的一个基本问题，没有明确的解决方案，除非一项投资总是比另一个投资更多。 1952年，马克维茨（Markowitz）和罗伊（Roy）介绍了以下风险和投资组合选择回报的标准：如果两个投资组合的预期收益相同，则更喜欢一个具有较小差异的投资组合。有效的投资组合的所有投资组合的差异最小，具有相同的预期收益。 这个简短说明的主要贡献是观察到，CAPM公式作为随机变量的实现回报，而不仅仅是他们的期望。这直接从写下一个时期投资的数学模型。
Given two random realized returns on an investment, which is to be preferred? This is a fundamental problem in finance that has no definitive solution except in the case one investment always returns more than the other. In 1952 Markowitz and Roy introduced the following criterion for risk vs. return in portfolio selection: if two portfolios have the same expected realized return then prefer the one with smaller variance. An efficient portfolio has the least variance among all portfolios having the same expected realized return. The primary contribution of this short note is observation that the CAPM formula holds for realized returns as random variables, not just their expectations. This follows directly from writing down a mathematical model for one period investments.
