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美国经济学家马考维茨1952年首次提出投资组合理论, 该理论包含两个重要内容：均值－方差分析方法和投资组合有效边界模型 。人们进行投资，本质上是在不确定性的收益和风险中进行选择。投资组合理论用均值—方差来刻画这两个关键因素。所谓均值，是指投资组合的期望收益率，它是单只证券的期望收益率的加权平均，权重为相应的投资比例。所谓方差，是指投资组合的收益率的方差。
投资组合理论研究“理性投资者”如何选择优化投资组合。所谓理性投资者，是指投资者在给定期望风险水平下对期望收益进行最大化，或者在给定期望收益水平下对期望风险进行最小化。马考威茨提出的“有效投资组合”的概念，使基金经理从过去一直关注于对单个证券的分析转向了对构建有效投资组合的重视。 事实上投资组合理论已将投资管理的概念扩展为组合管理。从而也就使投资管理的实践发生了革命性的变化。因此把上述优化投资组合以二维平面中描绘出来，形成一条曲线。这条曲线上有一个点，其波动率最低，称之为最小方差点（MVP）。这条曲线在最小方差点以上的部分就是著名的（马考维茨）投资组合有效边界，对应的投资组合称为有效投资组合。投资组合有效边界一条单调递增的凹曲线。
所谓最优投资组合是指某投资者在可以得到的各种可能的投资组合中，唯一可获得最大效用期望值的投资组合.有效集的上凸性和无差异曲线的下凸性决定了最优投资组合的唯一性。（image1）
第1个回答 2012-01-20
American economists MaKao watts 1952 , first proposed portfolio theory, this theory contains two important content: mean-variance analysis method and the efficient frontier model portfolio. People invest money, essentially is the uncertainty in the returns and risk of choice. Portfolio theory by mean-variance to depict the two key factors. The so-called mean, it is to point to the expectations of the portfolio yields, it is one of the expected rate of return of securities of the weighted average, the weight is corresponding investment proportion. The so-called variance, refers to the combination of the variance of investment return.
Portfolio theory research "rational investor" how to select the optimal portfolio. The so-called rational investor, it is to point to investors in a given level of the expected risk to expect revenue maximization, or in a given level of the expected return to expect to minimize risk. MaKao Bates has proposed "effective investment combination" concept that the fund manager from the past has been focused on the analysis of individual securities to the right to build effective portfolio attention. In fact portfolio theory has extended to the management concept of investment portfolio management. And also can make the investment management practice produced revolutionary change. So the portfolio optimization with the planar traced in, form a curve. This curve has a point, and the fluctuation of the lowest rate, called the minimum party almost (MVP). This curve in the least party almost the part above the is the famous (MaKao d watts) portfolio effective boundary, the corresponding investment combination called effective portfolio. Portfolio effective border a monotonous increasing concave curve.
The so-called optimal portfolio is to point to some investors can get all possible in the portfolio, the only thing you can maximize utility expectations of the investment portfolio. Effective set on the convex and indifference curves under the convex decided the optimal portfolio uniqueness. (image1)
Portfolio theory research "rational investor" how to select the optimal portfolio. The so-called rational investor, it is to point to investors in a given level of the expected risk to expect revenue maximization, or in a given level of the expected return to expect to minimize risk. MaKao Bates has proposed "effective investment combination" concept that the fund manager from the past has been focused on the analysis of individual securities to the right to build effective portfolio attention. In fact portfolio theory has extended to the management concept of investment portfolio management. And also can make the investment management practice produced revolutionary change. So the portfolio optimization with the planar traced in, form a curve. This curve has a point, and the fluctuation of the lowest rate, called the minimum party almost (MVP). This curve in the least party almost the part above the is the famous (MaKao d watts) portfolio effective boundary, the corresponding investment combination called effective portfolio. Portfolio effective border a monotonous increasing concave curve.
The so-called optimal portfolio is to point to some investors can get all possible in the portfolio, the only thing you can maximize utility expectations of the investment portfolio. Effective set on the convex and indifference curves under the convex decided the optimal portfolio uniqueness. (image1)
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