我国股票市场有效前沿的实证分析——对马科维茨模型的验证

An Empirical Test of the Efficient Frontier in China's Stock Market

在中国股票市场上 ,运用马科维茨模型所计算的上海和深圳两股市的有效前沿 ,表明深圳股市风险要低于上海股市。其实证结果表明 :根据马科维茨模型计算出的有效组合不仅明显优于基础证券和随机简单等权组合 ,而且比整个证券市场的平均表现更好。

The paper estimates the efficient frontiers of Shanghai and Shenzhen stock markets using the Markowitz model. The result shows that the efficient portfolios of the Markowitz model are not only better than the single security and the random simple equal-weighted portfolios, but also better than the average performance of the stock market. Thus a conclusion is drawn that the Markowitz portfolio theory has a practical value to China's stock market.