【摘要】 介绍了马克维茨的均值-方差模型和威廉.夏普的单指数模型,指出均值-方差模型存在的不足和单指数模型对均值-方差模型进行改进的合理性.通过实例对2个模型进行实证研究,并用LINGO软件进行求解.结果表明:单指数模型可以减少计算量,并且有分散投资风险的作用.最后提出了模型改进的思路.更多还原

【Abstract】 This paper introduces the Markowitz’s mean-variance model and William Sharp’s single index model,points out the disadvantage of mean-variance model and rationality of improvement in mean-variance model by single index model,researches on two models through the example and solves the problem by using LINGO software.The results show that a single index model can reduce the computation with a function of risk diversification.Finally the ideas of improvement in the model are put forward.更多还原