股票投资组合管理与优化模型  

Management and optimization model of stocks portfolio

作　　者：邹辉文[1,2] 汤兵勇[1] 

机构地区：[1]东华大学旭日工商管理学院,上海200051 [2]东华理工学院经济与管理系,江西抚州344000

出　　处：《黑龙江大学自然科学学报》2004年第1期39-42,共4页Journal of Natural Science of Heilongjiang University

基　　金：中国博士后科学基金资助项目(2003034280);江西省社会科学规划项目(03yi10)

摘　　要：将所有资金投资于单只股票风险太大,投资者通常选取适当的投资组合以降低风险。探讨股票投资组合管理问题,描述了由5个关键部分组成的股票投资组合管理的基本过程,即投资政策、投资分析、资产配置、投资组合修正和投资组合业绩评估。给出了一种新的风险度量指标,同时考虑了风险的潜在损失危害性和风险的投机收益性。并根据该指标,提出了股票投资组合的优化模型。If all capital was invested in a single share, the risk will be too high. Thus, investors usually choose a stock portfolio in order to reduce the risk. Some problems of the management of stock portfolio are discussed. The basic process of the management of stocks portfolio is described with five key components, i.e., investment policy, investment analysis, capital collocation, portfolio correction and outstanding achievement evaluation. A new index of risk measure is given, where both the potential losing harm and the gambling income of the risk in stock market are considered. Based on this index, an optimization model of stocks portfolio is put forward.

关 键 词：股票投资组合 风险度量指标 投资组合优化 

分 类 号：F830.9[经济管理—金融学] F832.48