结合回归方差分析法评价投资项目的风险

The Application with Regressive Variance Analysis Method to Estimate the Risk of Investment Projects

资本资产定价模型(CAPM)的基本思想常常被运用在评价投资项目的风险系数大小上。在传统的评价风险系数大小的过程中,往往要涉及到计算量过大的协方差矩阵,并多次运用协方差矩阵进行迭代。运用资本资产定价模型结合回归方差分析法给出了另一种比较简便的求解方法,并附实例分析。

Basic CAPM concepts are usually adopted to estimate the risk coefficient of investment projects. Computational difficulties involved in covariance matrix are often encountered in traditional processes of judging the risk coefficient, during which covariance matrixes must be used for iteration calculation for several times. A new solution to the problem is suggested by using CAPM model combined with regressive variance analysis approach. Examples are illustrated for a thorough analysis.