基于CAPM理论的A股投资策略研究

Research on a Share Investment Strategy Based on CAPM Theory

结合国内当前关于“三驾马车”拉动经济增长的政策背景,基于CAPM理论,以预期收益率和波动率作为风险资产投资组合的决策指标,建立起以消费股作为标的资产投资组合模型;然后利用MATLAB编程求解,得出了30万次模拟实验中的一种最优组合,预期日收益率为0.7286%,波动率为0.92%;最后,通过与大盘指数和中证500指数的对比,表明2018年7月26日至9月27日的45个交易日中,此种组合收益率超沪深300指数43.06%,超中证500指数48.79%.

Combining with the current policy background of China's troika-driven economic growth,based on CAPMtheory,taking the expected return and risk value as the decision-making indicators of risk asset portfolio,a portfolio model of assets with consumer stocks as the target is established.Then,using MATLAB programming to solve,an optimal combination of 300,000 simulation experiments is obtained,the expected daily yield is 0.7286%,the risk value is 0.92%.Finally,by comparing this portfolio with the broad market index and the China Securities 500 index,it shows that the return on this portfolio exceeded the Shanghai-Shenzhen 300 index by 43.06%and the China Securities 500 index by 48.79%over the 45 trading days fromJuly 26 to September 27,2018.