资本资产定价模型(CAPM)刻画了在资本市场达到均衡时,资本收益的一个市场确定机制。它是一个单指数模型:在众多假设下,指出不同股票的价格等同移动的原因在于股市的共同运动。它具有简便,易于操作的优点,是一些实际工作者乐于使用的模型,然而该模型不易检验,因为难以得到真正的市场组合,更严重的是一些经验结果与它相背。就此本文利用双因素定价模型测算所投资证券的风险值,并在此基础上,给出了关于Markowitz证券组合选择模型的SUMT外点法求解方法。 Capital Asset Pricing Model (CAPM) characterizes a market-determining mechanism for capital gains when capital markets reach equilibrium. It is a single-exponential model: under many assumptions, it is pointed out that the reason why the price of different stocks equals to move is the common movement of the stock market. It has the advantage of being simple and easy to operate. It is a model that real workers are happy to use. However, the model is not easy to test because it is difficult to get a real market portfolio. What’s more, some empirical results are contrary to it. In this paper, we use the two-factor pricing model to measure the risk value of the invested securities, and on this basis, we present a SUMT solution for the Markowitz portfolio selection model.