Markowitz投资组合理论假设了投资者根据证券的历史收益估计证券的预期收益,并且投资者在两个相互制约的目标——预期收益率最大化和收益率不确定性(风险)的最小化——之间寻求平衡,并由此推导出一条弯曲的投资组合的有效边界;资本资产定价理论则把无风险证券引入投资组合理论,改进了有效边界,使之成为一条笔直的资本市场线,为投资组合的构建提供了理论指导。 Markowitz’s portfolio theory assumes that investors estimate the expected return of a security on the basis of the historical returns of the security and that the investor’s objective of maximizing the expected return and minimizing the uncertainty of the yield (risk) Seek a balance between them, and deduce the effective boundary of a benign portfolio. Capital asset pricing theory introduces the risk-free securities into the portfolio theory, improves the effective border and makes it a straightforward capital market. The construction of the combination provides theoretical guidance.