马柯维茨模型在深圳股市应用中的实证研究  

Positive study of Markowitz models in Shenzhen stock market

作　　者：陈剑利[1] 诸葛莉[1] 周明华[1] 

机构地区：[1]浙江工业大学理学院,浙江杭州310032

出　　处：《浙江工业大学学报》2005年第4期470-474,共5页Journal of Zhejiang University of Technology

摘　　要：讨论了马柯维茨模型在深圳股市的实际应用问题.考虑到中国股市不允许买空卖空的情况,对改进的马柯维茨模型进行实证研究.运用深圳40指数的部分成分股2002年1月至2004年4月的历史数据对股票市场做了实证分析,研究了股票组合的风险变动规律,利用变异系数选出最优投资组合.并且经验证此方法是合理且可行的,因而有理由相信这种方法是可以对投资组合进行预测,从而能够指导投资者投资行为的.The practical discussed in this paper. application problem of Markowitz models in Shenzhen stock market is Considering disallowing fictitious transaction, the improved Markowitz models are adopted. Taking the trading data of the 40 component index stocks of Shenzhen stock market from Jan. 11,2002 to Apr. 2,2004 as the research objects, the law of risk variation of stock combination is studied and the optimal portfolio is found out by using difference coefficient. In addition, the outcome has been proved to be rightful and feasible. So it＇s reasonable to say that this method could give investors some advice.

关 键 词：马柯维茨模型 最优投资组合 变异系数 实证分析 

分 类 号：F830.91[经济管理—金融学]