最佳组合下的股票投资风险比较分析

The Comparative Analysis of Investment Risks Under the Best Portfolio

本文从上证180中按行业抽取30支股票作为样本股,构建投资组合并计算各时期不同投资组合规模下的风险值,进而确定每个时期的最佳投资组合规模。通过对最佳投资组合规模下风险值的考察得到结论:通过构建投资组合,风险降低程度大约在30%左右;最佳组合投资下的风险随时间推移呈现先降低后升高的趋势。

This paper takes a sample of 30 stocks according to the different lines from the SSE 180 Index, establishes the investment portfolio, and calculates the investment risk under different investment portfolios in various periods so as to determine the best size of the investment portfolio in each period. From the VAR analysis under the best investment portfolio conclusions can be reached： there is a risk reduction about 30 percent under the established portfolio; the risk under the best investment portfolio will take on the characteristics of decreasing after the first rising trend with the passage of time.