投资组合理论中的组合选择问题研究

Study on the Problem of Portfolio Selection in the Portfolio Theory

经典的Markowitz投资组合理论在选择最优投资组合时,没有考虑到投资实践中大量存在的委托代理关系,从而使得最优投资组合的选择可能会偏离投资者的利益。本文对这一问题做了详细的描述,并对目前解决此问题的方法,即委托投资组合管理的原理进行了分析。

When the classical Markowitz portfolio theory selects optimal portfolio, which doesn＇ t consider the principal -agent relationship in the investment practice so that the optimal portfolio selection can deviate the profit of investor. This paper describes the problem in detail and analyzes the principle of solution, i.e. delegated portfolio management.