英文标题：
《The Markowitz Category》
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作者：
John Armstrong
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最新提交年份：
2018
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英文摘要：
  We give an algebraic definition of a Markowitz market and classify markets up to isomorphism. Given this classification, the theory of portfolio optimization in Markowitz markets without short selling constraints becomes trivial. Conversely, this classification shows that, up to isomorphism, there is little that can be said about a Markowitz market that is not already detected by the theory of portfolio optimization. In particular, if one seeks to develop a simplified low-dimensional model of a large financial market using mean--variance analysis alone, the resulting model can be at most two-dimensional.
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中文摘要：
我们给出了Markowitz市场的代数定义，并将市场分类为同构市场。根据这种分类，没有卖空约束的马科维茨市场的投资组合优化理论变得微不足道。相反，这种分类表明，在同构之前，对于投资组合优化理论尚未发现的马科维茨市场，几乎没有什么可说的。特别是，如果一个人试图单独使用均值-方差分析来开发大型金融市场的简化低维模型，那么得到的模型最多可以是二维的。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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