论投资组合与金融优化———对理论研究和实践的分析与反思

经过50 多年的发展,投资组合选择的理论研究和实践已经取得了相当丰富的成果. 随着全球经济一体化进程的加快和我国金融市场的发展与完善,我国金融机构对投资组合理论的应用实践提出了具体要求. 按照投资组合选择理论的发展脉络,简述并分析了现代投资组合选择的各种主要理论、模型与方法以及它们之间的内在关系,并对一些最新进展作了重点介绍. 在此基础上,对投资组合选择(或广义意义下的金融优化) 的理论研究和在我国的应用实践问题,提出了若干值得关注的发展方向与建议.

Review and research issues on portfolio selection and f inancial optimization

The past 50 years have witnessed a remarkable development in portfolio selection both in theory and realpractice. With a rapid globalization of world economy and a fast growth of capital markets in China , more and moredomestic financial institutes start to feel an urgent need of applying modern portfolio selection theory to their prac2tice. This paper aims at reviewing the fundamental concepts and basic solution methodologies in portfolio selectionand examining recent development in the field. It is hoped that the research issues brought up in the paper willstimulate more interests in the development of portfolio selection , thus advancing the state2of2the2art of risk manage2ment and financial optimization in China.