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一、引言美国著名经济学家马柯威茨的证券投资组合理论一开始就揭示了以下３个事实：（１）无论证券之间的相关系数如何，证券组合的收益都不低于组合中任何单个证券的最低收益；（２）无论证券之间的相关系数如何，证券组合的风险都不高于任何单个证券的最高风险；（３）只要
I. INTRODUCTION The theory of portfolio investment by the famous American economist Markowitz reveals the following three facts from the very beginning: (1) no matter the correlation coefficient between securities, the return of the portfolio is not lower than any of the portfolio (2) regardless of the correlation coefficient between the securities, the risk of the portfolio is not higher than the highest risk of any single securities; (3)