上海证券市场投资组合规模、风险和收益关系的实证研究  

Relationship Analysis among the Scale Size of Portfolio,Risk and Income in Shanghai Stock Market

作　　者：申隆[1] 

机构地区：[1]西北大学,西安710069

出　　处：《电子科技大学学报（社科版）》2006年第6期1-5,共5页Journal of University of Electronic Science and Technology of China(Social Sciences Edition)

摘　　要：现代投资组合理论认为不同风险资产进行组合后,在保证投资收益的基础上可以有效地降低组合的风险。本文以沪市上市公司近五年来的市场表现为例,分析投资组合规模、风险和收益的关系。通过实证研究发现:投资组合存在适度组合规模,组合规模过大会出现过度组合的问题;组合规模的增加能够有效地降低非系统性风险,但在提高组合收益上效果并不明显。It's proved by modern investment theory that portfolio can disperse the risk of a given income.As an example,the relationship among the scale size of portfolio,risk and income since the year of 2001 in Shanghai stock market is studied.It's proved that a moderate size existes in portfolio.If the size of portfolio is too big,the over-diversification will appear.Meanwhile,when the scale size of portfolio is bigger,the non-systemic risk of portfolio will be lower.However,the income of portfolio will not increase with the growth of scale size of portfolio.

关 键 词：投资组合 投资风险 投资收益 实证研究 

分 类 号：F830.91[经济管理—金融学]