不同策略条件下的投资组合平均风险比较与分散

上海交通大学学报（自然版） ›› 2011, Vol. 45 ›› Issue (12): 1824-1828.

不同策略条件下的投资组合平均风险比较与分散

陈健1, 2, 胡文伟3, 李湛1

（1. 上海交通大学安泰经济与管理学院, 上海 200030； 2. 上海师范大学商学院, 上海 200234；3. 香港大福证券集团研究部, 香港）

收稿日期:2010-10-27 出版日期:2011-12-31 发布日期:2011-12-31
基金资助:
上海市科技发展基金软科学研究重点项目（066921012），上海市教育委员会科研创新重点项目（12ZS126）

A Comparative Research of Average Risk of Portfolio on Different Strategies and Risk Diversification

CHEN Jian-1, 2 , HU Wen-Wei-3, LI Zhan-1

(1. Antai College of Economics & Management, Shanghai Jiaotong University, Shanghai 200030, China;2. Business College, Shanghai Normal University, Shanghai 200234, China;3. Research Department of Tai Fook Securities Group, Hong Kong, China)

Received:2010-10-27 Online:2011-12-31 Published:2011-12-31

摘要/Abstract

摘要： 针对中国股市的现实, 根据投资者的投资偏好, 首先确定4个投资策略分别构造投资组合, 实证研究不同策略下投资组合平均风险的差异；其次,利用改进的间接分解模型分别计算各投资策略对应样本股的风险构成, 考察各策略的分散化效果．研究发现：不同策略组成的投资组合的平均风险存在明显差异；与从沪深两市中随机选择股票构造投资组合相比, 投资大盘蓝筹股能够使投资组合平均风险明显下降．对策略3和策略4而言, 30个股票构成的投资组合已经基本消除所有非系统风险,但协方差风险被分散掉的证据不足．

关键词: 投资策略, 投资组合, 平均风险, 构成

Abstract: Four investment strategies according to investor’s preference are designed to choose portfolios to compare their average risk in Chinese stock market. Improved indirect disaggregated model is used to study components of risk to compare diversification effect .The empirical results indicate that average risks of portfolios which use different investment strategies are distinctly different. Compared with choosing stock from the whole market, the average risk of portfolios choosing stock from the big Blue Chip stocks is less. Portfolios of 30 stocks almost have deleted all idiosyncratic risk for strategy 3 and strategy 4. But the evidence is not enough to show that covariance risks are deleted.

Key words: investment strategy, portfolio, average risk, components

中图分类号:

F830

陈健1, 2, 胡文伟3, 李湛1. 不同策略条件下的投资组合平均风险比较与分散[J]. 上海交通大学学报（自然版）, 2011, 45(12): 1824-1828.

CHEN Jian-1, 2 , HU Wen-Wei-3, LI Zhan-1. A Comparative Research of Average Risk of Portfolio on Different Strategies and Risk Diversification[J]. Journal of Shanghai Jiaotong University, 2011, 45(12): 1824-1828.

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