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自哈理-马柯威茨提出资产组合的均值方差模型以来,资产组合理论得到不断的发展,后来出现了CAPM,APT等理论。而且现在很多机构都在使用资产组合原理进行资产管理,但是资产组合理论固然在一定程度上可以消除非系统风险,但是资产组合理论对于系统风险却无能为力,因此系统风险的度量对于资产组合管理来说至关重要。
Since Halle-Markowitz proposed the mean-variance model of asset portfolio, the portfolio theory has been continuously developed. Later, theories such as CAPM and APT appeared. And now many organizations are using asset portfolio theory to manage their assets. However, although portfolio theory can eliminate non-systemic risks to a certain extent, portfolio theory can not do anything about system risk. Therefore, the measurement of system risk is very important for asset portfolio management It is very important.