上市公司风险投资组合模型研究  

Research on the portfolio model of listed companies' venture investment

作　　者：邢倩 王宇奇[1] 许诗情 XING Qian WANG Yu-qi XU Shi-qing(School of Management, Harbin University of Science and Technology, Harbin 150040, China School of Life Sciences, Heilongjiang University, Harbin 150080, China)

机构地区：[1]哈尔滨理工大学管理学院,黑龙江哈尔滨150040 [2]黑龙江大学生命科学学院,黑龙江哈尔滨150080

出　　处：《科技与管理》2017年第4期97-102,共6页Science-Technology and Management

摘　　要：上市公司可通过风险投资来解决融资后的资金冗余问题,但由于风险性较大,得到较好的资本收益变得日益困难,因此,通过组合投资来分散和降低风险以获取高收益,是上市公司资本利用的一个有效的途径。本文通过在归纳总结上市公司自身特征的基础上,深入分析上市公司风险投资的方式及风险因素,进而通过构建VaR及CVaR风险控制下的log-最优组合模型并加以验证,以便为上市公司组合投资决策提供科学依据。Through venture investment, listed Companies can find a way to solve the problem of capital redundancy after financing, however, it has become more and more difficult to get a better return due to the bigger investment risk. Thus, how to disperse and reduce the risk and to obtain higher yields through the portfolio investment, has become an effective way to utilize capital for listed companies. Based on summarizing the characteristics of listed companies, this paper analyzes the ways of venture investment and the relevant risk factors, constructs a log-optimal combination model under VaR and CVaR risk control, and verify the effectiveness of the model, therefore, provides scientific evidence for listed companies to make portfolio investment decision.

关 键 词：上市公司 风险投资 log-最优资产组合模型 

分 类 号：F276.3[经济管理—企业管理]