摘要
运用CAPM理论中的边际风险价格的概念,通过分析一个包含了黄金市场和股票市场在内的市场资产组合,定量给出了黄金的风险溢价。同时检验了黄金收益是否在CAPM框架内有效。在与我国股市进行比较之后,得出投资者可将黄金包括到投资组合中去,以取得更好的风险收益比。
Using the definition of marginal price of risk in the CAPM theory,this paper shows the risk premium of gold after carefully analyzing a market portfolio,whi ch consists of gold and stock simultaneously.Meanwhile,the paper tests whether t he excess return of gold is in equilibrium within the framework of CAPM.It concl udes that,compared with the stock market,gold should be included in investors'po rtfolio to get a better risk-return ratio.
出处
《价值工程》
2004年第7期93-95,共3页
Value Engineering
