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采用“沪深300”成分股中的280只股票,通过随机抽样的方法建立等权投资组合模型,实证分析了中国股市投资组合规模的非系统风险分散效应,计算了沪深A股系统风险总量,并从马可维茨投资组合理论出发探讨了合适的投资组合规模。
By using 280 stocks in the constituent stocks of “CSI 300”, a random sample is used to establish the model of the equity investment portfolio. The non-systematic risk diversification effect of the portfolio size in China is empirically analyzed. The total amount of risk, and from the perspective of Markowitz portfolio theory to explore the appropriate portfolio size.