资产组合风险度量与选择之文献述评

Literatures Review on Portfolio Risk Measurement and Selection

根据资产组合理论的本质,理解和掌握资产组合理论具有重要的意义。本文主要从风险度量方法比较、现实金融资产收益的实际分布与相关性、以及金融资产收益的动态变化特征等角度,对资产组合风险度量与选择的相关文献进行回顾与评述。

Modem portfolio theory is derived from the thesis of Markowitz in twenty-century. No matter in research content or in the debating focus, it has taken great changes. How to hold the changes by means of the essential issues of portfolio theory is significant for understanding and grasping the portfolio theory. This paper mainly re- viewed and appraised corresponding literatures about portfolio theory from the aspects of comparison of risk measure- ment, the actual distribution and the dependence of finance asset return, and the dynamic character of finance asset return.