关键词: 投资组合, 风险偏好, 有效边界, 无差异曲线

Abstract: Markowitz has given an optimal investment solution for those risk-aversion investors and proved its risk diversification function. But, is this portfolio management a patent only possessed by the risk-aversion investors? Based on the Markowitz mean-variance model paradigm, plus a full discussion about the optimal solution to the investors with different risk preferences, this paper analyzes the portfolio selection behavior for the three kinds of investors of risk aversion, risk indifference and risk seeking. Then it investigates the operating characteristics of the securities market and gives some empirical evidences with respect to China's securities market. The results show that there exist proper optimal solutions for all kinds of investors. The risk seeking investors’ optimal solution is the most complicated. The risk indifference investors use ETF tools instead of the market portfolio to make their decision, and their influence upon the market can be negligible accordingly, compared with the risk aversion as well as risk seeking investors. Hence, the latter two kinds of investors’ behaviors would play a key role in the securities market. Although it is difficult to separate individual investor’s risk preference according to the portfolio selection, China’s securities markets show a significant risk-seeking characteristics in general.

Key words: Portfolio, Risk Preference, Efficient Frontier, Indifference Curve