夏普单指数模型对我国股票市场的适用性分析  

The study on the applicability of Sharpe Single - Index Model in our stock market

作　　者：宋晓杰[1] 

机构地区：[1]吉林工程技术师范学院,吉林长春130052

出　　处：《吉林工程技术师范学院学报》2003年第8期61-64,共4页Journal of Jilin Engineering Normal University

摘　　要：夏普(Sharpe)于1963年提出了简化的单指数模型以解决标准投资组合模型计算困难,单指数模型在西方发达市场得到了广泛的应用。为了研究单指数模型在我国证券市场上的应用效果,本文将该模型计算的投资组合与证券投资基金的投资组合进行比较和事后验证,以深入了解单指数模型在我国证券市场的适用性。In 1963, Sharpe raised the Single - Index Model to solve the algebraic complexity of the standard Portfolio Selection Model. The Single - Index Model was well utilized in the Western market. In order to check the effect of applying the Single - Index Model to the stock market in our country, the article made some comparison between theoretical model's portfolio and mutual fund's portfolio.

关 键 词：夏普单指数模型 投资组合 有效市场假定 股票市场 

分 类 号：F832.5[经济管理—金融学]