资产组合规模适宜度的实证研究
摘 要
本文选取上证28只股票数据，利用2007—2011年间的月收益率数据，采取“回置式”抽样并赋予随机权重的方法，对沪股市股票投资组合规模与风险分散的关系进行了实证分析。结果表明：沪股市股票投资组合能有效减少非系统风险，较为合适的投资组合规模为6-16只股票。
关键词：股票投资组合；风险分散；非系统风险
Capital Size Suitability of Empirical Research
Abstract
The article selects SSE 28 stocks yield data between 2007-2011, to take the “back-mounted” sample and to give the random weight method, empirical analysis on the relationship of the Shanghai stock market stock portfolio size and risk diversification. The results showed that: the Shanghai stock market stock portfolio can effectively reduce the risk of non-system, a more appropriate size of the portfolio is 6 to16 stocks.
Keywords: Stock Portfolio；Risk Diversification；Non-systematic Risk
目 录
