基于价值投资理论的最优证券投资组合探讨  

On Optimal Securities Investment Portfolio Based on Value Investment Theory

作　　者：柯原[1] 

机构地区：[1]福建江夏学院金融系,福建福州350108

出　　处：《福建金融管理干部学院学报》2011年第3期11-17,共7页Journal of Fujian Institute of Financial Administrators

摘　　要：将现代证券投资组合理论与价值投资理论相结合,可以推导出最优证券投资组合。最优证券投资组合与证券投资组合理论风险的定义与度量不同;基于价值投资理念的最优证券投资组合的目标函数和马科维茨的目标函数不同;基于价值投资理念的最优证券投资组合抛弃了β系数的计算,避免了运用证券市场线构建投资组合时β系数稳定性的计算问题;定价模型和现实有差距。通过对上证180只股票指数的实证检验,基于价值投资理念的最优证券投资组合可以战胜市场证券组合,在承担较小风险程度下获得令人满意的投资回报率。This paper absorbing respective advantages of Modern portfolio theory and the theory of value investing, combine with two theorys infers optimal portfolio based value investment theory. From the deduction process there is not much difference from mean-variance of modern portfolio theory superfically, but the distinction still exists to some extent. That is, different from the measurement of the risk between two theory, different the objective function of optimal portfolio based on the value investment philosophy from the Markowitz＇s; optimal portfolio based on value investment philosophy give up the calculation of beta coefficient, avoid the problems of beta coefficient calculation of stability ,when using securities market line to building the portfolio . On this basis,taking an empirical test on the Shanghai Stock Exchange 180 stocks index, We fund optimal portfolio based on the value of investment philosophy can beat the market portfolio, can obtain a satisfactory return on investment and take smaller risk degrees.

关 键 词：价值投资 投资组合 

分 类 号：F830.91[经济管理—金融学]