Markowitz模型在中国证券市场的实证研究  

Empirical Research of Markowitz Model in Chinese Stock Market

作　　者：余后强[1] 李玲[2] 

机构地区：[1]湖北科技学院数学与统计学院,湖北咸宁437100 [2]湖北科技学院生物医学工程学院,湖北咸宁437100

出　　处：《甘肃科学学报》2015年第2期41-43,48,共4页Journal of Gansu Sciences

基　　金：湖北科技学院校级科研项目(KY11040)

摘　　要：Markowitz模型是现代投资组合理论的开端。通过对Markowitz模型进行深入分析,提出了应用Lagrange乘数法进行求解,然后从中国股市出发,从不同行业选取了10只股票,应用Markowitz模型进行分析,分别计算出在5种不同收益率下,投资者所得到的最优证券组合及所须承担的风险。结果表明,该模型对投资者进行股票选择及风险预测具有一定的指导意义。The Markowitz model is the beginning of the modern portfolio theory.The Markowitz model was thoroughly analyzed,and the Lagrange multiplication method was proposed to seek the solution to the model.10 kinds of stocks in various industries in the Chinese stock market were selected and analyzed through the Markowitz model,and the optimal portfolio obtained by the investors and the inherent risks at5 different earning rates were calculated.The empirical research showed that the Markowitz model was instructive for investors to select stocks and predict potential risks.

关 键 词：MARKOWITZ模型 LAGRANGE乘数法 实证研究 

分 类 号：O224[理学—运筹学与控制论]