证券投资组合实证研究及绩效评价

The Empirical Research and Performance Evaluation on Portfolio

投资都是有风险的,高风险意味着高收益,怎样的一个投资组合才是最有效的?作为理性的投资者总希望风险小而收益大,或者是收益相同的情况下,风险最小。马可维兹1959年提出了关于投资组合选择的规范性模型:均值-方差模型,该模型主要是在一系列假设的基础上导出了最优化投资组合,随后人们提出了投资组合绩效评价的评价指标,包括夏普比率、特雷诺比率和詹森比率,以此来衡量投资活动的优劣。本文选取30只股票通过实证模拟研究,得出其中两个优化的投资组合,算出其VAR值,然后计算各自的绩效评价指标:Sharpe指数、Treynor指数和Jensen指数,然后进行比较研究。

Investment is risky, and high risk means high income. What kind of the portfolio is the most effective？ The rational in- vestors always hope that the risk is low and the gain is large. Or, under the situation that the gain is equal, the risk is minimal. Markowitz put forward standardized model about the portfolio selection in 1959： mean - variance model. The model educes the opti- mal portfolio on the basis of a series of hypotheses. Then the evaluation indexes of the performance evaluation of the portfolio were proposed, including the Sharpe ratio, Treynor ratio and Jensen ratio, in order to measure the pros and cons of the investment activities. The paper selects 30 stocks, makes the empirical simulation research, gets two optimized portfolio, calculates their VAR value and their respective performance evaluation indexes： Sharpe index, Treynor index and Jensen index, and then makes a comparative study.