经营投资组合能有效分散风险吗

下载PDF

导出

摘要本文对影响组合风险的关键因素——相关系数及两种组织结构下的组合数量进行分析,以支持风险分散理论适用于经营投资组合分析的观点,只是在分析结果上要进行适当的调整,经营投资多样化分散风险要弱于证券投资多样化。

作者李学华

机构地区北京广播电视大学财务处

出处《财会月刊（下）》 2012年第3期80-82,共3页 Finance and Accounting Monthly

关键词经营投资组合证券投资组合分散风险相关系数

参考文献2

1Aswath Damodaran著.曾力伟等译.Corpotate Finance——Theory and Practice.北京:中国人民大学出版社,2001.
2万中,苗强,罗汉.含交易费用的投资组合问题的新模型及其求解途径[J].经济数学,2008,25(1):36-41. 被引量：1

1Markowitz, H. Portfolio selection[ J]. Journal of Finance, 1952,7( 1 ): 77 - 91.
2Markowitz, H. Portfolio Selection :Efftcient Diversification of Investments [ M ]. New York: Wiley, 1959.
3Markowitz, H. Mean- Variance Analysis in Portfolio Choice and Capital Market. New York: Basil Blackwell, 1987.
4Ong Chorng-Shyong, Huang Jih-Jeng, Tzeng Gwo-Hshiung. A novel hybrid model for portfolio selection[J]. Applied Mathematics and Comprtation , 2005 ,169 :1195 - 1210.
5Huang Jih-Jeng, Tzeng Gwo-Hshiung, Ong Chomg-Shyong. A novel algorithm for uncertain portfolio selection[ J]. Applied Mathematics and Comprtation , 2006,173: 350 - 359.
6Benati S. ,The optimal portfolio problem with coherent risk mwasure constraints[J]. European Journal of Operations Research ,2003,150: 572 - 584.
7Chiodi L., Mansini R., Speranza M. G., Semi-absolute deviation rule for mutual funds portfolio selection [ J]. Annals of Operations Research, 2003,124: 245 - 265.
8Kellerer H., Mansini R., Speranza M. G., Selecting portfolios with fixed costs and minimum transaction lots[J]. Annals of Operations Research, 2000,99 : 287 - 304.
9Konno H., Shirakawa H., Yamazaki H., A mean-absolute deviation-skewness potrfolio optimization model[ J]. Annals of Operations Research 1993,45 : 205 - 220.
10Mansini R., Ogriczak W., Speranza M.G., On LP solvable models for portfolio selection[ J]. Informatica, 2003,14 (1):37-62.