投资金融学方面的书籍foassetpricing2.pdfVIP

Chapter II. Mean-Variance Portfolio Choice 1. INTRODUCTION arkowitz (1952, 1959) and Tobin (1958) were the first to consider portfolio choices in a mean- Mvariance context. The current chapter is based on their work. The mean-variance approach produces optimal portfolio choices for individual investors, taking asset prices and payoff distributions as given. Building on the work of Markowitz and Tobin, Treynor (1961) and Sharpe (1963, 1964) independently constructed a “general equilibrium” model based on the mean-variance approach with given payoff distributions, but in which asset prices (or expected returns) become endogenous. Their model, as refined by Mossin (1966) and Lintner (1965, 1969), is now known as the Capital Asset Pricing Model, the CAPM. It is discussed in Chapter III. Before considering the asset pricing issues in Chapter III, we examine portfolio choice for individual investors in the current chapter. 2. THE MEAN-VARIANCE APPROACH onsider an individual investor/consumer in the context of a static model: decisions are made in the first period and the outcome occurs in the second period. We may think of this as a two-period model, but C it is substantially different from models such as the Fisher two-period model discussed in the previous chapter, in which decisions are made in two periods. More appropriately we refer to the model as a one-period model in which decisions are made at the beginning of the period while the outcome occurs at the end of the period. As long as we distinguish decisions and outcomes, there is no need for time subscripts. The individual is assumed to maximize the expected utility of end-of-period consumption. Since life is assumed to end at the close of the period, there is no difference between consumpti