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1、英文原文：10 TheMarkowitzInvestmentPortfolioSelectionModelThefirstninechaptersofthisbookpresentedthebasicprobabilitytheorywithwhichanystudentofinsuranceandinvestmentsshouldbefamiliar.Inthisfinalchapter,wediscussanimportantapplicationofthebasictheory:theNobelPrizewinninginv
2、estmentportfolioselectionmodelduetoHarryMarkowitz.Thismaterialisnotdiscussedinotherprobabilitytextsofthislevel;however,itisaniceapplicationofthebasictheoryanditisveryaccessible.TheMarkowitzportfolioselectionmodelhasaprofoundeffectontheinvestmentindustry.Indeed,thepopu
3、larityofindexfunds(mutualfundsthattracktheperformanceofanindexsuchastheS&P500anddonotattemptto“beatthemarket”)canbetracedtoasurprisingconsequenceoftheMarkowitzmodel:thateveryinvestor,regardlessofrisktolerance,shouldholdthesameportfolioofriskysecurities.Thisresulthasca
4、lledintoquestiontheconventionalwisdomthatitispossibletobeatthemarketwiththe“right”investmentmanagerandinsodoinghasrevolutionizedtheinvestmentindustry.OurpresentationoftheMarkowitzmodelisorganizedinthefollowingway.Webeginbyconsideringportfoliosoftwosecurities.Animporta
5、ntexampleofaportfolioofthistypeisoneconsistingofastockmutualfundandabondmutualfund.Seenfromthisperspective,theportfolioselectionproblemwithtwosecuritiesisequivalenttotheproblemofassetallocationbetweenstocksandbonds.Wethenconsiderportfoliosoftworiskysecuritiesandarisk-
6、freeasset,theprototypebeingaportfolioofastockmutualfund,abondmutualfund,andamoney-marketfund.Finally,weconsiderportfolioselectionwhenanunlimitednumberofsecuritiesisavailableforinclusionintheportfolio.WeconcludethischapterbybrieflydiscussinganimportantconsequenceoftheM
7、arkowitzmodel,namely,theNobelPrizewinningcapitalassetpricingmodelduetoWilliamSharpe.TheCAPM,asitisreferredto,givesaformulaforthefairreturnonariskysecuritywhentheoverallmarketisinequilibrium.LiketheMarkowitzmodel,theCAPMhashadaprofoundinfluenceonportfoliomanagementprac
8、tice.10.1PortfoliosofTwoSecuritiesInthissection,weconsiderportfoliosconsistingofonlytwosecurities,and.Thesetwosecuritiescoul
