| 股票组合的风险变动规律及最佳组合有效前沿--Markowitz理论在深圳证券市场的应用实证 |
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| 引用本文： | 徐立新,郭国雄,栾长福. 股票组合的风险变动规律及最佳组合有效前沿--Markowitz理论在深圳证券市场的应用实证[J]. 华南理工大学学报(自然科学版), 2001, 29(9): 5-8 |
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| 作者姓名： | 徐立新 郭国雄 栾长福 |
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| 作者单位： | 华南理工大学应用数学系 |
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| 基金项目： | 国家自然科学基金资助项目(19131033);广东省自然科学基金资助项目(920110) |
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| 摘 要： | 以深圳股市40个成分指数股从1999年8月6日到2000年7月28日的交易数据为研究对象，借助C语言和Mathematics4.0数学软件，应用马科维次（Markowitz）模型，研究了股票组合的风险变动规律，得出在深圳市场，5～10个股票组合可以降低37.3%的总风险，并且用马科维次模型寻找到深圳证券市场最佳组合的有效前沿的双曲线方程和风险证券与无风险证券组合时切点M的坐标，从而可以知道各股票在达到最佳组合时所占的比例。
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| 关 键 词： | 收益率 股票风险 有效前沿 股票组合 风险变动规律 最佳组合 证券投资组合 Markowitz理论 |
| 文章编号： | 1000-565(2001)09-0005-04 |
The Law of Risk Variation of Stock Combination and theEffective Frontal of the Optimum Combination:An Applying Example of Shenzhen Stock Market Based on Markowitz Model |
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| Xu Li_xin Guo Guo_xiong Luan Chang_fu. The Law of Risk Variation of Stock Combination and theEffective Frontal of the Optimum Combination:An Applying Example of Shenzhen Stock Market Based on Markowitz Model[J]. Journal of South China University of Technology(Natural Science Edition), 2001, 29(9): 5-8 |
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| Authors: | Xu Li_xin Guo Guo_xiong Luan Chang_fu |
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| Abstract: | Taking the trading data of the 40 composition index stocks of Shenzhen Stock Market from Aug. 6, 1999 to Jul. 28,2000 used as the research objects, this paper, with the help of C language and Mathematics 4.0 software, has studied the law of risk variation of stock combination and drawn a conclusion that 5 to 10 stock combinations may reduce the total risk by 37.3% . In addition, we have found a hyperbola equation of effective frontal of the optimum combination and the coordinate of point of tangency M combining risky and non_risky stocks and thus, we get to know the proportion each stock takes when it reaches the optimum combination. |
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| Keywords: | yield ratio stock risk effective frontal |
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