证券组合理论在我国股票市场上的应用

发布时间：2018-04-23 05:31

本文选题：证券组合 + 均值方差模型　；参考：《东北大学》2014年硕士论文

【摘要】：人们在进行证券投资时,往往面临着这样一个问题：在种类繁多的证券中,应该选择哪几类证券,如何分配在这几类证券中的投资比例,才能使投资组合的收益和风险达到自己满意的最优水平。1952年,美国经济学家马柯威茨在《金融学》杂志上发表了一篇题为《证券组合选择》的论文,在这篇文章中他用风险资产的期望收益率和方差来研究如何选择和组合资产这一问题,这被看作是现代证券组合理论的起点,他提出的模型被称为马柯威茨均值方差模型。随后,很多国外学者都对他的理论进行了研究与探讨,并发展出很多新的理论。随着我国金融市场的开放,我国学者对现代资产组合理论的研究也越来越多。本文研究了证券组合理论在我国股票市场中的应用,分四部分进行：第一部分主要介绍了证券组合理论的相关背景知识。第二部分介绍了现代证券组合理论一些理论知识,重点介绍了马柯威茨的均值方差模型。第三部分为实证部分,从我国股票市场中选取了十只股票,运用马柯威茨的均值方差模型得出了在限制卖空和不限制卖空两种情况下该如何在组合股票间进行选择和分配的有效边界。第四部分为结论：当我们将证券组合理论运用到我国的股票市场中来进行股票投资时,我们可以得到一些最优的股票组合,这些最优的股票组合代表在风险一定的情况下使收益最大和在收益一定的情况下使风险最小；在期望收益率相同的情况下组合中的股票数量越多风险越小；在进行股票投资时收益与风险总是并存的,高风险往往伴随着高收益。
[Abstract]:When people invest in securities, they are often faced with the problem of which types of securities should be selected and how to allocate the proportion of investments in these kinds of securities. In 1952, the American economist Markowitz published a paper entitled "portfolio selection" in the Journal of Finance. In this paper, he uses the expected return and variance of risky assets to study how to select and portfolio assets, which is regarded as the starting point of modern portfolio theory. His model is called Markowitz mean variance model. Subsequently, many foreign scholars have studied and discussed his theory and developed many new theories. With the opening of China's financial market, more and more scholars have studied the modern portfolio theory. This paper studies the application of portfolio theory in China's stock market. It is divided into four parts: the first part mainly introduces the relevant background knowledge of portfolio theory. The second part introduces some theoretical knowledge of modern portfolio theory, focusing on Markowitz's mean variance model. The third part is the empirical part, which selects ten stocks from the stock market of our country. By using Markowitz's mean variance model, the efficient boundary of how to select and distribute portfolio stocks is obtained in the case of restricted short selling and no restriction short selling. The fourth part is the conclusion: when we apply the portfolio theory to the stock market in our country, we can get some optimal stock portfolio. These optimal stock combinations represent the maximum return in the case of a certain risk and the minimum risk in the case of a certain return, the more stocks in the portfolio with the same expected rate of return, the smaller the risk. In the stock investment, the return and risk always coexist, high risk is often accompanied by high return.
【学位授予单位】：东北大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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