外文翻译---markowitz投资组合选择模型

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1、英文原文：10　TheMarkowitzInvestmentPortfolioSelectionModelThefirstninechaptersofthisbookpresentedthebasicprobabilitytheorywithwhichanystudentofinsuranceandinvestmentsshouldbefamiliar.Inthisfinalchapter,wediscussanimportantapplicationofthebasictheory:theNobelPrizewinninginvestmentportfolios

2、electionmodelduetoHarryMarkowitz.Thismaterialisnotdiscussedinotherprobabilitytextsofthislevel;however,itisaniceapplicationofthebasictheoryanditisveryaccessible.TheMarkowitzportfolioselectionmodelhasaprofoundeffectontheinvestmentindustry.Indeed,thepopularityofindexfunds(mutualfundsthat

3、tracktheperformanceofanindexsuchastheS&P500anddonotattemptto“beatthemarket”)canbetracedtoasurprisingconsequenceoftheMarkowitzmodel:thateveryinvestor,regardlessofrisktolerance,shouldholdthesameportfolioofriskysecurities.Thisresulthascalledintoquestiontheconventionalwisdomthatitispossib

4、letobeatthemarketwiththe“right”investmentmanagerandinsodoinghasrevolutionizedtheinvestmentindustry.OurpresentationoftheMarkowitzmodelisorganizedinthefollowingway.Webeginbyconsideringportfoliosoftwosecurities.Animportantexampleofaportfolioofthistypeisoneconsistingofastockmutualfundanda

5、bondmutualfund.Seenfromthisperspective,theportfolioselectionproblemwithtwosecuritiesisequivalenttotheproblemofassetallocationbetweenstocksandbonds.Wethenconsiderportfoliosoftworiskysecuritiesandarisk-freeasset,theprototypebeingaportfolioofastockmutualfund,abondmutualfund,andamoney-mar

6、ketfund.Finally,weconsiderportfolioselectionwhenanunlimitednumberofsecuritiesisavailableforinclusionintheportfolio.WeconcludethischapterbybrieflydiscussinganimportantconsequenceoftheMarkowitzmodel,namely,theNobelPrizewinningcapitalassetpricingmodelduetoWilliamSharpe.TheCAPM,asitisrefe

7、rredto,givesaformulaforthefairreturnonariskysecuritywhentheoverallmarketisinequilibrium.LiketheMarkowitzmodel,theCAPMhashadaprofoundinfluenceonportfoliomanagementpractice.10.1PortfoliosofTwoSecuritiesInthissection,weconsiderportfoliosconsistingofonlytwosecurities,and.Thesetwosecuritie

8、scoul