投资组合理论发展综述：分散化投资的历史、现在与未来

Review of Portfolio Theory Development: The History, Present and Future of Diversified Investing

摘要: 本文梳理回顾了投资组合理论发展的三大阶段，阐述了行为金融学对中国证券市场的意义，并展望量化投资的发展可能性。20世纪50年代前，金融学术界仅有对分散化投资的定性描述。1952年，马科维兹(Markowitz)开创了现代投资组合理论，量化了投资组合对于风险和收益的影响。20世纪末兴盛的行为金融学将投资者看作非理性人，提出了行为组合理论。行为金融学在投机盛行的中国证券市场具有普适性，而将情绪化指标纳入量化投资考量将会是未来发展趋势。

Abstract: This paper reviews the three stages of the development of portfolio theory, expounds the signifi-cance of behavioral finance to China’s securities market, and looks forward to the possibility of quantitative investment. Before the 1950s, there was only a qualitative description of diversifica-tion in financial academia. In 1952, Markowitz pioneered modern portfolio theory, which quantifies the impact of a portfolio on risk and return. The prosperous behavioral finance at the end of the 20th century regarded investors as irrational people and put forward the theory of behavioral portfolio. Behavioral finance is universal in China’s securities market where speculation is preva-lent, and incorporating emotional indicators into quantitative investment considerations will be a future trend.