Markowitz投资组合选择模型.docxVIP

英文原文：10　The Markowitz Investment Portfolio Selection ModelThe first nine chapters of this book presented the basic probability theory with which any student of insurance and investments should be familiar. In this final chapter, we discuss an important application of the basic theory: the Nobel Prize winning investment portfolio selection model due to Harry Markowitz. This material is not discussed in other probability texts of this level; however, it is a nice application of the basic theory and it is very accessible.The Markowitz portfolio selection model has a profound effect on the investment industry. Indeed, the popularity of index funds (mutual funds that track the performance of an index such as the SP 500 and do not attempt to “beat the market”) can be traced to a surprising consequence of the Markowitz model: that every investor, regardless of risk tolerance, should hold the same portfolio of risky securities. This result has called into question the conventional wisdom that it is possible to beat the market with the “right” investment manager and in so doing has revolutionized the investment industry.Our presentation of the Markowitz model is organized in the following way. We begin by considering portfolios of two securities. An important example of a portfolio of this type is one consisting of a stock mutual fund and a bond mutual fund. Seen from this perspective, the portfolio selection problem with two securities is equivalent to the problem of asset allocation between stocks and bonds. We then consider portfolios of two risky securities and a risk-free asset, the prototype being a portfolio of a stock mutual fund, a bond mutual fund, and a money-market fund. Finally, we consider portfolio selection when an unlimited number of securities is available for inclusion in the portfolio.We conclude this chapter by briefly discussing an important consequence of the Markowitz model, namely, the Nobel Prize winning capital asset pricing model due to William Sh