投资组合理论在风险管理中的应用研究

Research on the Application of Portfolio Theory to Risk Management

在风险管理中,投资组合理论主要解决两大问题:一是如何衡量不同的投资风险;二是投资者如何合理地组合自己的资金以取得最大收益。TCL集团、四川长虹这两家上市公司可能形成的不同投资组合的月股票收益率的均值、标准差和标准离差率表明,马柯维茨投资组合理论和方差模型的运用的确具有技术上的可行性,该理论对于指导投资决策和加强财务风险管理有一定的应用价值。

In risk management, portfolio theory mainly focuses on two problems： how to measure different investment risks, and how investors can make a reasonable portfolio for the highest returns. This paper presents a comparative study of the monthly stock return ratio, standard deviation and CV of the possible portfolios of two listed companies, namely, TCL Corporation and Sichuan Changhong Electronic Corporation, and concludes that Markowitz Theory and Mean-Variance Model are technically practicable, and thus to a certain extent can be applied to guiding investment decisions and strengthening financial risk management.