马克维茨投资组合选择(8)

on the basis of factors

or nuances not taken into account by the formal computations.

Using this revised set of pi knduij, the set of efficient E, V combinations

could be computed, the investor could select the combination he

preferred, and the portfolio which gave rise to this E, V combination could be found.

One suggestion as to tentative pi, aijis to use the observed pi, aii

for some period of the past. I believe that better methods, which take

into account more information, can be found. I believe that what is

needed is essentially a \of security analysis.

I will not pursue this subject here, for this is \

a story of which I have read only the first page of the first chapter.

In this paper we have considered the second stage in the process of

selecting a portfolio. This stage starts with the relevant beliefs about

the securities involved and ends with the selection of a portfolio. We

have not considered the first stage: the formation of the relevant beliefs

on the basis of observation.

15. Care must be used in using and interpreting relations among aggregates. We cannot

deal here with the problems and pitfalls of aggregation.

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