关于证券投资中系统性风险的某些问题

Some Problems on the Systematic Risk in Securities Investment

本文借助于数量化方法研究证券投资中系统性风险结构的某些问题。在分析了有关升降β系数所存在的一些问题的基础上,建立了描写证券投资风险系统性的一组新的参数:强弱β系数βS与βW,研究了它们的一些重要性质,并应用到投资分析及系统风险与预期收益的结构分析中。作为应用实例,还对沪深两市的若干只股票进行估算。

In the paper , the problem for the construction of systematic risk in securities investment is studied with the help of the method of quantity. The Strong Coefficient βs and Weak β Coefficient βw are established, which overcome one＇s shortcomings of the well known Rising β Coefficient and Descending β Coefficient, and several important properties for βs and βw are obtained and applied in the paper.