非系统风险的回报率及其计量  

The Rate of Return and Measurement of Nonsystematic Risk

作　　者：赵贞玉[1] 欧阳令南[2] 祝波[1] 

机构地区：[1]上海大学国际工商与管理学院,上海201800 [2]上海交通大学安泰管理学院,上海200030

出　　处：《数学的实践与认识》2006年第2期89-93,共5页Mathematics in Practice and Theory

摘　　要：现代金融理论认为,系统风险无法通过组合投资进行规避,承担系统风险被市场承认从而可以获得风险报酬;非系统风险可以通过组合投资进行有效分散,因而承担非系统风险不应获得风险回报.试图阐述系统风险完全可以规避,指出承担非系统风险也应获得风险报酬,给出计量非系统风险回报率的规划方法,该规划的最优解同样满足两基金分离定理.Modern financial theories believe that systematic risks can not be avoided by portfolio and investors can gain risk returns by bearing systematic risks. Nonsystematic risks can be distributed by portfolio and investor can not gain risk returns. The article describes that in fact systematic risks can also be avoided, points out that investors should gain risk returns by hearing nonsystematic risks and gives the means to measure the rate of return of nonsystematic risks and the result of this planning also meets the Two Funds Separation Theory.

关 键 词：投资组合 系统风险 风险报酬 两基金分离定理 

分 类 号：F224[经济管理—国民经济]