摘要
分散化作为现实股票市场中的一种投资策略,在降低风险的同时也会带来投资成本的上升。因此,最优股票组合规模是分散化策略的成本与收益权衡的结果。以2002年~2009年间上证180指数成分股的周对数收益率为样本,按照随机等权构造不同规模的股票投资组合,实证得到沪市股票组合规模与其风险分散的数量关系,在此基础上引入分散化的成本与收益两个度量,从而以边际成本等于边际收益原则确定出最优组合的股票数量。结果表明,无论对于借款投资者还是贷款投资者,在沪市180成分股中随机选择5只股票构建的等权重组合即可作为最优组合。
Diversification,as a strategy of investment in practice,can reduce the risk of a stock portfolio,which,however,may simultaneously increase the cost to it.The determinant of an optimal portfolio depends on the trade-off between marginal cost and revenue in the strategy of diversification.By using the 180 indexes in Shanghai Stock Market and simulating stochastic equity-weighted portfolios,this paper explores the optimal size of a stock portfolio by selecting it from the indexes after defining the measure of the cost and revenue to a portfolio.
出处
《广东商学院学报》
北大核心
2011年第3期40-45,共6页
Journal of Guangdong University of Business Studies
基金
国家社会科学基金青年项目(10CJL017)
关键词
最优股票组合
分散化
成本
收益
optimal stock portfolio
diversification
cost
revenue
