2[1].1投资组合理论概述enew

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1、中南财经政法大学新华金融保险学院2009-9-11copyright@wangPinXinhuaSchoolofFinanceandInsurancePortfolioandRiskManagementChapter2PortfolioTheory(1)WangPinwp_znuel@126.com2009-9-11CopyrightWangPin第-1页XinhuaSchoolofFinanceandInsurancePortfolioandRiskManagementContentsofChapter22.1Introduction2.2PortfolioModel2

2、.3CapitalandAssetPricingModel2.4ArbitragePricingTheory2.5EfficientMarketHypothesis2.6NewStudiesinPortfolioTheory2009-9-11CopyrightWangPin第-2页金融工程（二）：投资组合与风险管理1中南财经政法大学新华金融保险学院2009-9-11copyright@wangPinXinhuaSchoolofFinanceandInsurancePortfolioandRiskManagement2.1IntroductionEmergenceandD

3、evelopmentofPortfolioTheoryEvolutionofThoughtinPortfoliomanagementMethodologiesofPortfolioTheory2009-9-11CopyrightWangPin第-3页XinhuaSchoolofFinanceandInsurancePortfolioandRiskManagementEmergenceandDevelopmentofPortfolioTheoryDevelopmentofWesternInvestmentTraditionalandModernPortfolioTheor

4、yDevelopmentofModernPortfolioTheory2009-9-11CopyrightWangPin第-4页金融工程（二）：投资组合与风险管理2中南财经政法大学新华金融保险学院2009-9-11copyright@wangPinXinhuaSchoolofFinanceandInsurancePortfolioandRiskManagementDevelopmentofWesternInvestmentBeforethe1930s：speculativephaseThestockmarketwasextremelyirregularandlackedo

5、fsupervisionFrom1930sto1950s：professionalphasestandardizedmanagement;publicity,fairnessandjustice;fundamentalanalysisandtechnicalanalysisAfter1950s：scientificphaseKnowledgeofeconomicsandmathematicsisusedinstudiesoninvestment.2009-9-11CopyrightWangPin第-5页XinhuaSchoolofFinanceandInsuranceP

6、ortfolioandRiskManagementTraditionalPortfolioTheoryTraditionalportfoliotheoryismajorindescriptivestudyandqualitativeanalysis.Themainmethodstoconstructportfolioarefundamentalanalysisandtechnicalanalysis.2009-9-11CopyrightWangPin第-6页金融工程（二）：投资组合与风险管理3中南财经政法大学新华金融保险学院2009-9-11copyright@wangPinX

7、inhuaSchoolofFinanceandInsurancePortfolioandRiskManagementModernPortfolioTheorySpecialPortfolioTheoryPortfolioModel(Mean-VarianceModel),Single-indexModelGeneralizedPortfolioTheoryPortfolioModel(Mean-VarianceModel),Single-indexModel,CapitalandAs