摘要
夏普(Sharpe)于1963年提出了简化的单指数模型以解决标准投资组合模型计算困难,单指数模型在西方发达市场得到了广泛的应用。为了研究单指数模型在我国证券市场上的应用效果,本文将该模型计算的投资组合与证券投资基金的投资组合进行比较和事后验证,以深入了解单指数模型在我国证券市场的适用性。
In 1963, Sharpe raised the Single - Index Model to solve the algebraic complexity of the standard Portfolio Selection Model. The Single - Index Model was well utilized in the Western market. In order to check the effect of applying the Single - Index Model to the stock market in our country, the article made some comparison between theoretical model's portfolio and mutual fund's portfolio.
出处
《吉林工程技术师范学院学报》
2003年第8期61-64,共4页
Journal of Jilin Engineering Normal University
关键词
夏普单指数模型
投资组合
有效市场假定
股票市场
<Keyword>Sharpe Single - Index Model
portfolio selection
efficient market theory
stock market
