资本资产定价自从金融产品的诞生之日起就成为学者们研究的问题,在长期的发展研究中产生了许多不同的定价模型,其中最著名也是最基础的就是威廉·夏普的单指数模型。本文基于单指数模型,对沪深两市的行业指数进行实证研究,通过分析得出我国基金投资行业配置的优化选择。 Since the birth of financial products, the pricing of capital assets has become a research topic for scholars. Many different pricing models have been developed in long-term development studies. One of the most famous and most fundamental ones is William Sharp’s single-index model. Based on the single index model, this paper conducts an empirical study of the industry indices in Shanghai and Shenzhen stock markets and finds out the optimal choice of the industry configuration of fund investment in our country.