摘要
1952年,马克维茨发表了《投资组合选择》,建立了均值-方差模型。随后夏普建立了资本资产定价模型和单指数模型,罗斯等人建立了套利定价多因素模型。各类模型均有其优点及相应的适用条件。本文对以上理论模型进行了比较研究,认为就我国投资者而言,把单指数模型作为工具,同时加入一些因素到模型中,更适宜于其对证券收益的实证研究。
With the publish of thesis Portfolio Selection authorized by Markowitz in 1952, Mean - Variance Model was established. Subsequently, Sharpe raised the Single Index Model and Capital Asset Pricing Model, Ross founded the Multifactor Model. The applications of their models are discussed and some advice on application of them are given in this article.
出处
《吉林工程技术师范学院学报》
2003年第6期56-59,共4页
Journal of Jilin Engineering Normal University
关键词
投资组合模型
均值-方差模型
单指数模型
多因素模型
<Keyword>Portfolio Selection Model
Mean - Variance Model
Single - Index Model
Multifactor Model
