股票组合的风险变动规律及最佳组合有效前沿——Markowitz理论在深圳证券市场的应用实证

The Law of Risk Variation of Stock Combination and the Effective Frontal of the Optimum Combination:An Applying Example of Shenzhen Stock Market Based on Markowitz Model

以深圳股市 4 0个成分指数股从 1999年 8月 6日到 2 0 0 0年 7月 2 8日的交易数据为研究对象 ,借助C语言和Mathematics 4 .0数学软件 ,应用马科维次 (Markowitz)模型 ,研究了股票组合的风险变动规律 ,得出在深圳市场 ,5～ 10个股票组合可以降低37.3%的总风险 ,并且用马科维次模型寻找到深圳证券市场最佳组合的有效前沿的双曲线方程和风险证券与无风险证券组合时切点M的坐标 ,从而可以知道各股票在达到最佳组合时所占的比例 .

Taking the trading data of the 40 composition index stocks of Shenzhen Stock Market from Aug. 6, 1999 to Jul. 28,2000 used as the research objects, this paper, with the help of C language and Mathematics 4.0 software, has studied the law of risk variation of stock combination and drawn a conclusion that 5 to 10 stock combinations may reduce the total risk by 37.3% . In addition, we have found a hyperbola equation of effective frontal of the optimum combination and the coordinate of point of tangency M combining risky and non_risky stocks and thus, we get to know the proportion each stock takes when it reaches the optimum combination.