最佳組合下的股票投資風(fēng)險(xiǎn)分析.pdf

1、河北大學(xué)碩士學(xué)位論文最佳組合下的股票投資風(fēng)險(xiǎn)分析姓名：卞克陽(yáng)申請(qǐng)學(xué)位級(jí)別：碩士專業(yè)：金融學(xué)指導(dǎo)教師：陳志國(guó)20090601AbstractAbstractFromthetheoreticalresearchoftheportfoliospreadingtherisk，extremevaluecanbeachieved，thenon—systemicriskCanbecompletelyscatteredout，butthesystemi

2、criskstillstandsstillInthatcase，theresearchofportfolioinvestmentriskconvertstotheresearchofthemarketsystemicriskFurthermore，thispaperillustratestheoreticallythefactorsinfluencingthesystemicriskwhichincludeGDP，inflationar

3、yrate，monetaryandfiscalpolicy，demandandsupplyofthemarket，taxsystem，bonussystem，auditsystemforstockissuance，andsplitsharereformFollowingthetheoreticalanalysis，thispapercarriesoutthecomparativeanalysisandfactoranalysisresp

4、ectively，whichconcemtheinvestmentriskandthemarketsystemicriskunderthebestportfolioWehavechosen30stocksfromtheIndexofSSE180andthemonthlyyieldratefromDecember31stof1995toDecember31stof2008asthefactorsfortheresearchWehavech

5、osenthecloset3yearsasoneresearchperiod，inthatcase1lperiodscanbeconcludedViatherandomequalrightmethod，portfolioCanbeconstructedandtheriskvalueofeachperiodcanbecalculatedFurthermore，thebestportfolioofeachperiodandtheriskco

6、nditionunderthatportfolioCanbeobtainedOnthatbasis，wecancometothefinalconclusions：theinvestmentriskcanbereducedeffectivelyincaseoftheportfolioconstruction，investmentrisksunderthebestportfoliowouldfollowthetrendofdroppingt

7、henincreasingwhichWasdeterminedbythemarketsystemicriskThefactorsoftheGDP，CPI，thedepositandlendinginterestrates，institutionalinvestorsscale，themarketexpansionrate，andmarketpoliciesareselectedtocomparewiththeSSECompositeIn

8、dex，finallyobtaintheinfluenceofthesystemicriskofeachfactorintheprocessofthedevelopmentofthestockmarketAtlast，accordingtothefactorswhichgiverisetothestockmarketsystemicrisk，wemakesomesuggestionsonstabilizingthestockmarket