投资组合分散风险的理论及实证分析

The Dispersion Risk Theory and Positive Analysis of Combination Investment

由于研究成本和交易费用的存在,利用投资组合分散风险并不是资产的数量越多总收益就越高,而是不同的国家在不同的时间适宜投资的资产数量有所不同。文章对这一投资组合理论进行了深入的研究,并根据上海股票市场的实际数据进行了实证分析,从而得出:在最近时期的上海证券市场,适宜的投资规模是15到25只股票。

As study cost and transaction expense, combination investment dispersion risk does not mean more assets produce more profit. It means the different amount of assets invested at different time and in different country. This paper probes deeply into the combination investment theory, conducts the positive analysis on the basis of Shanghai Stock Exchange and concludes the reasonable scale of imestment is 15-20 sorts of stock in the Shanghai Stock Exchange in the near future.