Extensions to Portfolio Theory to Reflect Vast Wealth Differences Among Investors
指出传统投资组合理论假设投资者财富相近，但现实中存在大量机构投资者，其交易能影响价格。作者修改了资本资产定价模型，将投资者分为价格接受者和价格影响者，分析新的均衡条件。
Much of modern portfolio theory rests on conclusions drawn from the original form of the Capital Asset Pricing Model. Fundamental to the conclusions of this model is the assumption of perfect competition among investors; i.e., all inves? tors possess approximately the same small amount of wealth such that equilibrium price cannot be influenced significantly by the demand of any of the investors. Today's security market, however, is characterized by individuals and large in? stitutional investors such as insurance companies and investment funds. Al? though institutions represent a very small fraction of all investors in the mar? ket, institutional investors in 1977 held 34.3 percent of all outstanding stock. By the very magnitude of the dollar transactions effected by these large inves? tors, prices can and are affected dramatically. Because today's security market is composed of investors exhibiting extreme differences in wealth, the United States securities market probably is not perfectly competitive as assumed in portfolio theory. Consequently, investment theory must be extended to reflect vast wealth differences among investors. To achieve this end, modifications are made to the original Capital Asset Pricing Model. Equilibrium conditions are examined and conclusions are drawn as to how portfolio theory must be altered to include price affecting ability by a segment of the investors in the market. Economic usage of the term, imperfect competition, implies a setting wherein vast differences in wealth affect equilibrium prices through the behavior patterns of buyers and sellers. In terms of financial theory and for purposes of this research, the definition of imperfect competition will be delimited to a security market composed of two types of investors: one, the investor incapable of affecting equilibrium prices-price takers; the second, the investor whose transactions are sufficiently large to influence equilibrium prices-price affectors. Furthermore, due to the sensitivity of equilibrium prices to the