QFII投资组合构建的合理性研究——基于风险与收益匹配性的一般原则与最优原则

Research on the Rationality of QFII Portfolio Construction -Based on the General Principle and the Optimal Principle of Matching between Risk and Revenue

QFII是我国证券市场上唯一的境外机构投资者,受到广泛的关注。文章依据风险与收益相匹配的一般原则和最优原则,通过构建衡量风险与收益匹配状态的模型以及判断投资组合合理性的判别标准,从横向和纵向两个角度对我国QFII投资组合风险与收益的匹配状态以及合理性进行实证研究。研究表明,我国市场上QFII的投资组合在总体上是比较合理的,QFII能够战胜市场。

QFII, as the only foreign investors in Chinese security market, has attracted a wide attention. According to the General Principle and the Optimal Principle of matching between risk and revenue, through constructing the model for measuring the matching status between risk and revenue and the criterion for judging the portfolio＇ s rationality, this paper makes an empirical study of the matching status and the portfolio＇ s rationality of QFII in both transverse and lengthwise directions. It indicates that the portfolio of QFII in China＇ s market is rational in general, and QFII is able to conquer the market.