本文将理论分析和实证分析相结合，首先将研究范围界定于具有投资属性的艺术品中，并结合中国的宏观经济形势分析中国艺术品市场的现状。之后梳理了国内外学者在艺术品的资产配置效应这个研究领域相关的研究成果。 在实证部分，本文基于2004年-2018年中国艺术品拍卖市场的当代书画的交易数据，在资源配置中引入市场交易机制中的佣金变量，对采用重复交易法编制的艺术品指数进行投资收益特征的实证分析，剔除佣金成本因素使得计算出的收益率更加符合现实，从而量化艺术品的资产配置效应、为测量艺术品在投资市场中的功能提供前提。此后，检验中国艺术品市场和黄金、债券、股票和基金市场的相关关系，并在资本资产定价模型的框架下构建最优资产组合、绘制投资组合有效边界以量化艺术品的资产配置效应。实证结果表明：在样本期内，中国艺术品的实际收益率以及风险价值高于传统金融投资品；中国艺术品市场与传统金融市场的相对独立，在构建资产组合时加入艺术品能够改善资产组合的风险边界，所以在资源配置优化和多样化的时候艺术品是一种有效的工具，艺术品市场的发展将为中国经济转型升级和投资市场结构优化提供可能。

This paper combines theoretical analysis and empirical analysis. Firstly, it will define the scope of research, which focus on the artworks with investment attributes. Then, based on macroeconomic, it will analyze the current situation of Chinese art market. After that, it will review the domestic and foreign researches which related to the theme of the role that art plays in a portfolio of investments. The empirical analysis is based on the transaction data of contemporary painting and calligraphy in the Chinese art auction market during 2004-2018. The paper will introduce the commission as a variable into the trading mechanism, and calculate the earning rates of the art index that compiled by the repeat-sales method, eliminating the influence that the cost of commission made thus make the yield more realistic, thereby providing a prerequisite for measuring the function of art in the investment market. After that, the correlation coefficient between Chinese art market and gold, bond, stock and fund markets will be compared; the optimal asset portfolio will be constructed under the framework of Markowitz mean-variance model; and the effective frontier of portfolio will be drawn to quantify the management effect of art. The empirical results show that during the sample period, the actual rate of return and risk value of Chinese art is higher than that of traditional financial investment products; the correlation coefficient of Chinese art market and traditional financial market is low; adding art in the construction of asset portfolio can effectively improve the performance of the portfolio. Thus, the artwork is very suitable for asset allocation optimization and diversification, and the long-term stable development of the art market will provide the possibility for optimizing the structure of Chinese investment market.