基于马科维茨模型下的股票投资组合研究——以A股市场股票为例  

Research on the Stock Portfolio Based on the Markowitz Model—Taking the A-Share Market Stock as an Example

作　　者：蔡冰冰 谭理 陈芳 

机构地区：[1]湖南人文科技学院数学与金融学院,湖南 娄底 [2]国家税务总局税务干部学院,湖南 长沙

出　　处：《统计学与应用》2024年第4期1194-1202,共9页Statistical and Application

摘　　要：本文通过东方财富选取A股市场五个板块的五只股票,分别是计算机软件行业的科大讯飞(002230)、电力行业的长江电力(600900)、饮料行业的五粮液(000858)、基本金属行业的中国铝业(601600)、贸易行业的中国中免(601888),提取五只股票2024年1月2日到3月28日的每日收盘价数据,建立马科维茨模型(均值–方差模型),通过均值、标准差、方差、协方差等有效信息,计算出权重、最小方差组合,以股票投资组合收益率最大为目标,分散所选择股票组合的投资风险,根据不同的投资者风险厌恶类型,最终确定最优投资组合。得出结论,股票长江电力的投资应占比最多,而股票中国铝业的投资比例应最少。In this paper, five stocks in five sectors of the A-share market are selected by Oriental Wealth, namely IFlytek (002230) in the computer software industry, Yangtze Electric Power (600900) in the power industry, Wuliangye (000858) in the beverage industry, Aluminum Corporation of China (601600) in the base metal industry, and China Free (601888) in the trade industry. The daily closing price data of five stocks from January 2 to March 28, 2024 was extracted, the Markowitz model (mean-variance model) was established, and the weight and minimum square were calculated through the effective information such as mean, standard deviation, variance and covariance poor portfolio, aiming at the maximum return rate of the stock portfolio, the investment risk of the selected stock portfolio was spread, and finally, the optimal investment portfolio was determined according to different risk aversion types of investors. It is concluded that the investment of Yangtze Power should be the most, while the investment of Chinalco should be the least.

关 键 词：马科维茨模型 投资组合 A股市场股票 EViews 10软件 

分 类 号：F42[经济管理—产业经济]