基于股票价格波动问题的消除系统风险的投资组合模型研究

本文以中小企业板为研究对象,在探索结合投资组合理论与股票价格波动理论的基础上,对股票价格波动过程中低点、高点出现的规律进行分析,通过统计检验,建立阶段周期低点和高点回归预测模型,最后应用该模型进行股票投资的实证分析.研究结果表明,基于阶段周期回归预测模型的投资操作可以有效规避系统风险,提高中小投资者的收益率,对中小投资者进行投资选择具有很好的指导意义.

Research on portfolio models to eliminate systemic risk based on price volatility problems

This paper took Small and Medium Enterprise(SME) market as the research object,based on researching Markowitz portfolio theory and stock price volatility theory,analyzed the emergence of minimum and maximum values of stock price volatility.Through the statistic verification,established regression models on phase-cycle minimum and maximum values of stock price volatility.Finally,the optimal models were applied to the empirical analysis of stock investment.The result shows that investment operations can avoid systemic risk effectively and increase the rate of return for individual investors based on the regression models.It has a significant meaning to guide individual investors to make an investment choice.