关于证券投资中系统性风险的某些问题.pdfVIP

# 84 # 56 2005 8 关于证券投资中系统性风险的某些问题 杨 书郎 ( 仰 恩 大 学) = 本文借助于数量化方法研究证券投资中系统性风险结构 某些问题 在分析了有关升降B系数所存在 一些问题 基础上, 建立了描写证券投资风险系 统性 一组新 参数: 强弱B系数BS 与BW , 研究了它们 一些重要性质, 并应用 到投资分析及系统风险与预期收益 结构分析中作为应用实例, 还对沪深两市 若干只股票进行估算 证券投资 系统性风险 强B 系数 弱B 系数 F8 A Some Problems on the Systematic Risk in Securities Investment Abstract: In the paper , the problem for the construction of systematic risk in securities investment is studied w ith the help of the method of quantity1 T he trong W B Coefficient B and Weak B Coefficient B are established, w hich overcome oneps shortcomings of the w ell known Rising B Coefficient and Descending B Coefficient, and several important properties for B and BW are obtained and applied in the paper1 Key words: ecurities Investment; ystematic Risk; trong B Coefficient; Weak B Coefficient B , , , , , , , , / 0 / 0, / 0 , , , , , ; , () , # 85 # , () , B B, , , ( , ) , , B , BB , , , , , BR BD B B , BB B ( BR BD) , , , , , , : E (rt - r) ( Rt - RŠ) t I U B^ = 2 ( 1) E ( Rt - RŠ) tI U E (rt - r+ ) ( Rt - RŠ+ ) tI U+ ^BR = 2