Regression model
均值-方差投资组合优化（Markowitz）
均值-方差投资组合优化是现代投资组合理论的基石模型，由 Harry Markowitz 于 1952 年提出。它在预期收益与风险（方差）平面上描述投资组合，并描绘出在给定风险水平下预期收益最高的配置的有效前沿，涵盖了最小方差投资组合、最大夏普比率投资组合以及受约束的变体。
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来源
- Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77-91. DOI: 10.1111/j.1540-6261.1952.tb01525.x ↗
- Ledoit, O. & Wolf, M. (2004). A Well-Conditioned Estimator for Large-Dimensional Covariance Matrices. Journal of Multivariate Analysis, 88(2), 365-411. DOI: 10.1016/S0047-259X(03)00096-4 ↗
如何引用本页
ScholarGate. (2026, June 1). Markowitz Mean-Variance Portfolio Optimization. ScholarGate. https://scholargate.app/zh/finance/portfolio-optimization-mean-variance
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
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