摘要
通过对上海股票市场的分析 ,可以看到一个充分分散化的投资组合可以分散掉市场 70 %左右的个股风险。而对上海股票市场几个股票指数的分析 ,告诉我们上证A股指数和上证综合指数可以反应市场的变化 ,是风险充分分散化的投资组合。但如果按照这两个指数的权重投资非要大量的资金不可 ,并且要对不断变化的新股上市进行调整。本文根据APT定价模型 ,利用聚类分析、主成分分析、回归和优化方法找出将近 2 0种股票 ,按一定比例投资于这 2 0个股票的组合可以与指数至少在短期内 (3个月 )变动一致。从而可以做到投资于少量股票 ,取得指数的收益。
With the efficiency improvements of the stock market in China,above 70% individual stock risk can be eliminated with diversification,so diversification improve portfolio obviously.With main component analysis,we demonstrate the composite stock index and the composite A-index are good indexes in that they can reflect market behavior.But they are not good indexes to tell us the returns of investment strategies.According to APT model,with main component analysis,cluster analysis,regression analysis,and optimization,above 20 stocks are selected to form a portfolio that can have the same return as the Shanghai composite A-index in a not long time.So by investing a few stocks,a return of index is obtained.
出处
《管理工程学报》
CSSCI
2003年第1期40-44,共5页
Journal of Industrial Engineering and Engineering Management
关键词
上海
股票市场
股票指数
证券组合
market index
index portfolio
cluster analysis
APT model
