单指数模型的最优风险投资组合研究

根据威廉·夏普的单指数模型（Diagonal Model）构建最优风险投资组合，选取2005年6月至2010年5月间上市交易的股票型基金13只和债券型基金9只进行实证检验．发现选取的22只基金与上证综合指数构建的最优风险投资组合的收益率比上证综合指数的收益率要高．同时，使用样本数据中具有正a值的基金进行对比分析，发现正a值的基金构建的最优风险投资组合的收益率无法战胜基于22只基金构建的组合的收益率．这说明基于a值的积极组合管理无法获得超额收益，虽然它的收益超过同期的上证综指的收益．因此，得出结论，单指数模型构建的最优风险投资组合能够获得超过大盘指数的收益，但是基于正O／值的投资策略无法对单指数模型进行改进．

Study on Optimal Risky Portfolio of Single Index Model

An optimal risky portfolio is developed according to William Sharpe’s single index model(Diagonal Model).Thirteen stock funds and nine bond funds over the period from June 2005 to May 2010 are collected for empirical tests.It is found that the rates of yield generated by the optimal risky portfolio of the twenty two funds and the Shanghai Stock Exchange Composite Index(SSE Composite Index for short) are higher than the return rates of the SSE Composite Index.At the same time,this paper studies the funds with positive α of the sample data.The results show that the return rates of the portfolio based on the twenty two funds outnumber that of the optimal risky portfolio of positive α funds,indicating that positive portfolio management based on positive α fails to make substantial returns,although its rates exceed those of SSE Composite Index over the same period.Therefore,the conclusion is that optimal risky portfolio of a single index model can achieve more returns than those of the Market Index.However,the investment strategy based on positive cannot be used to improve a single index model.