基于多指数模型和APT模型的投资组合分析

To Analyse on the Portfolio Management Based on the Multi-index Model and APT Model

在投资组合研究中,多指数模型的分析并不多见。鉴于此,对多指数模型和APT模型进行了理论总结,并研究了多指数模型和APT模型在投资组合管理以及业绩评价上的应用。多指数模型可以用于形成收益预期、研究事件影响,以及作为分解组合好坏表现的工具。

Currently,there are a few research about multi-index model in the portfolio study.This paper summarizes the theory of multi-index model and APT model detailedly,and researchs the application of portfolio management and outstanding achievement evaluation based on multi-index model and APT model.The multi-index model can be used to compose the expected value of return, analyse the infection of portfolio and act as the tool for decomposing the portfolio better or no.