基于指数模型的现代资产组合理论评述

A Review of Modern Portfolio Theory Based on the Index Model

从指数模型的视角出发,通过对指数模型的产生背景、内容及应用的描述,分别介绍了现代资产组合理论中的马科维茨均值——方差模型、指数模型、资本资产定价模型以及套利定价理论等重要内容,明晰了指数模型与这些理论的关系,阐述了指数模型在现代资产组合理论中的重要地位。

From the angle of index model, by describing the background, notion and application of index model, the paper introduces the different theory of modern portfolio, such as Markwitz＇ s mean - variance model, index model, capital and asset pricing model, arbitrage pricing theory and so on. Meanwhile, the relations between index model and the above other theories are identified, followed by the explanation about the important position of index model in modern portfolio theory.