华东师范大学学报(哲学社会科学版) ›› 2000, Vol. 32 ›› Issue (3): 76-84.doi: 10.16382/j.cnki.1000-5579.2000.03.012

• 经济 金融 • 上一篇    下一篇

沪深股市证券投资组合的实证研究

高平   

  • 收稿日期:2000-02-21 出版日期:2000-05-01 发布日期:2025-12-19

Portfolio Positive Study of Shanghai and Shenzhen Security Markets

Ping GAO   

  • Received:2000-02-21 Online:2000-05-01 Published:2025-12-19

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摘要：

1996年5月6日至12月6日, 我国股市正处于价值回归阶段, 股价的信息含量较高, 选择这一区间沪深股市各30只股票作样本数据, 是迄今为止进行证券投资组合研究的最佳原始资料。若以均值—方差模型为理论基础、以二次规划为研究工具, 在上述样本股范围内沪深股市可各找出13组有效资产组合, 并能勾画出沪深股市各自的有效边界以及由沪深股市有效边界共同构成的“新有效边界”。在此基础上则可对沪深股市有效边界及“新有效边界”的范围和特点、投资者的最佳证券组合的变化及其相应的市场选择策略、有效证券组合的市场表现等问题作更深入的探讨。

关键词: 沪深股市, 投资组合, 有效边界, 均值—方差模型

Abstract:

Based on the Mean-Variance Model, this paper analyzes the portfolios of Shanghai and Shenzhen security markets through the 30 model stocks which are sparately selected from two security markets. Quadratic programming algorithm is used in the study of efficient portfolios and efficient frontiers of Shanghai and Shenzhen security markets. After calculating efficient portfolios and drawing efficient frontiers of Shanghai and Shenzhen security markets, we can find a new efficient frontier made up of efficient frontiers of Shanghai and Shenzhen security markets. So we can get some helpful conclusions depending on the new efficient frontier.

Key words: Shanghai and Shenzhen security markets, portfolio, efficient frontier, the Mean-Variance Model