论文标题
基本投资组合优于市场投资组合
Fundamental Portfolio Outperforms the Market Portfolio
论文作者
论文摘要
有大量的经验证据表明，基本投资组合的表现优于市场组合。在这里奠定了支持这项实证研究的理论基础。假设股价以足够的强度和对称性围绕基本价格恢复，那么基本投资组合在预期方面优于市场投资组合。如果对基本价格的回归不足，那么基本投资组合表现不佳就可以预期市场组合。
There is substantial empirical evidence showing the fundamental portfolio outperforming the market portfolio. Here a theoretical foundation is laid that supports this empirical research. Assuming stock prices revert around fundamental prices with sufficient strength and symmetry, the fundamental portfolio outperforms the market portfolio in expectation. If reversion toward the fundamental price is not sufficiently strong, then the fundamental portfolio underperforms the market portfolio in expectation.
