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1、英文原文：10 TheMarkowitzInvestmentPortfolioSelectionModelThefirstninechaptersofthisbookpresentedthebasicprobabilitytheorywithwhichanystudentofinsuranceandinvestmentsshouldbefamiliar.Inthisfinalchapter,wediscussanimportantapplicationofthebasictheory:theNobelPrizew
2、inninginvestmentportfolioselectionmodelduetoHarryMarkowitz.Thismaterialisnotdiscussedinotherprobabilitytextsofthislevel;however,itisaniceapplicationofthebasictheoryanditisveryaccessible.TheMarkowitzportfolioselectionmodelhasaprofoundeffectontheinvestmentindus
3、try.Indeed,thepopularityofindexfunds(mutualfundsthattracktheperformanceofanindexsuchastheS&P500anddonotattemptto“beatthemarket”)canbetracedtoasurprisingconsequenceoftheMarkowitzmodel:thateveryinvestor,regardlessofrisktolerance,shouldholdthesameportfolioofrisk
4、ysecurities.Thisresulthascalledintoquestiontheconventionalwisdomthatitispossibletobeatthemarketwiththe“right”investmentmanagerandinsodoinghasrevolutionizedtheinvestmentindustry.OurpresentationoftheMarkowitzmodelisorganizedinthefollowingway.Webeginbyconsiderin
5、gportfoliosoftwosecurities.Animportantexampleofaportfolioofthistypeisoneconsistingofastockmutualfundandabondmutualfund.Seenfromthisperspective,theportfolioselectionproblemwithtwosecuritiesisequivalenttotheproblemofassetallocationbetweenstocksandbonds.Wethenco
6、nsiderportfoliosoftworiskysecuritiesandarisk-freeasset,theprototypebeingaportfolioofastockmutualfund,abondmutualfund,andamoney-marketfund.Finally,weconsiderportfolioselectionwhenanunlimitednumberofsecuritiesisavailableforinclusionintheportfolio.Weconcludethis
7、chapterbybrieflydiscussinganimportantconsequenceoftheMarkowitzmodel,namely,theNobelPrizewinningcapitalassetpricingmodelduetoWilliamSharpe.TheCAPM,asitisreferredto,givesaformulaforthefairreturnonariskysecuritywhentheoverallmarketisinequilibrium.LiketheMarkowit
8、zmodel,theCAPMhashadaprofoundinfluenceonportfoliomanagementpractice.10.1PortfoliosofTwoSecuritiesInthissection,weconsiderportfoliosconsistingofonlytwosecurities,and.Thesetwosecuritiescoul
