单指数模型的最优风险投资组合研究.doc

单指数模型的最优冈险投资组合研究 卢善奎 (南京大学商学院江苏南京210093) 摘 要：根据威廉-夏普的单指数模型(Diagonal Model)构建最优风险投资组合?选取2005年6月至2010年5月 间上市交易的股票型基金13只和债券型基金9只逬行实证检验，发现选取的22只基金与上证综合指数构建的最 优风险投资组合的收益率比上证综合指数的收益率要高同时使用样本数据中具有正Q值的基金进行对比分析? 发现正a值的基金构建的最优风险投资组合的收益率无法战胜基于22只基金构建的组合的收益率 这说明基于a 值的积极组合管理无法获得超额收益?虽然它的收益超过同期的上证综指的收益因此?得出结论?单指数模型构建 的最优风险投资组合能够获得超过大盘指数的收益但是基于正a值的投资策路无法对单指数模型进行改进矢键 词：单指数模型；资产管理；最优风险投资组合 中图分类号：F224 Study on Optimal Risky Portfolio of Single Index Model LU Shan-kui (Schoo* of Business1 Nanjing University? Nanjing 210093 ? China) Abstract: An optima risky portfolio is developed according lo William Sharpe s singc index mode； ( Diagonal Model)- Thirteen slock funds and nine bond funds over the period from June 2005 to May 2010 are colected for empirica： tests I is found that lhe rales of yield generated by the optimal risky portfolio of the twenty two funds and the Shanghai Sloe! Exchange Composite Index ( SSE Composite Index for short) are higher than the return rales of the SSE Composite Index Al lhe same lime, this paper studies lhe funds with positive a o: lhe sample data* The results show that the reluri rales of lhe porlfoio based on the twenty Iwo funds outnumber that of lhe oplimal risky portfolio o: positive a funds ? indicating lhal positive porcolio management based on positive a :ails to make substantial returns1 although its rales excee( those of SSE Composite Index over the same period* Thereforethe conclusion is that optimal risky portfolio o; a single index model can achieve more returns than those of lhe Market Index? However lhe investment strategy based on positive cannot be used to improve a single index model- Key words: single index mode; asset management; optimal risky portfo io 投资组合管理是投资界一个悠久而又永不过时的话题每当谈到组合管理一般都会想到资产组合管 理理论的鼻祖马可维兹?1952年马可维兹第一次提出了优化一个组合中个人投资的资产来实现较大的组 合收益⑴-1959年他在其书⑵中扩展了他的资产组合选择理论提出了数学化的分散理论，使用方差作为 风险度量的标准使用了线性和非线性的选择方法?提出资产组合应该在风险和收益(McanA^idncc - M-V)之间进行权衡的资产组合理论，然而由于马可维兹的组合模型需要估计较多的输入变量，尤其是相 收槁日期：2012 -01 -09；修回日期：2012 -02 - 10 作者简介：卢善奎 硕士研