Markowitz Investors

• Returns distribution. Investors look at each investment opportunity as a probability distribution of expected returns over a given investment horizon.
• Utility maximization. Investors maximize their expected utility over a given investment horizon, and their indifference curves exhibit diminishing marginal utility of Wealth (i.e. they are convex).
• Risk is variability. Investors measure risk as the variance (standard deviation) of expected returns.
• Risk/return. Investors make all investment decisions by considering only the risk and return of an investment opportunity.
• Risk aversion. Given two investments with equal expected returns, investors prefer the one with the lower risk. Likewise, given two investments with equal risk, investors prefer the one with the greater expected return.

马克维茨投资组合理论的假设：

1. 每项投资服从概率分布。
2. 投资者努力使投资效用达到最大化。
3. 投资者将投资期望收益的风险作为方差（或标准差）来表示。
4. 投资者只基于风险和收益之间来做决策。
5. 投资者总是对风险表现厌恶。对给定的风险水平，投资者希望最高收益。