投资组合风险的均值方差分析

黄亮亮; 王勇

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上海电力大学学报:2012,28(3):287-290,297

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投资组合风险的均值方差分析

黄亮亮, 王勇

(上海电力学院电力与自动化工程学院)

The Average Investment Portfolio Risk Analysis of Variance

HUANG Liang-liang, WANG Yong

(School of Electric Power and Automation Engineering,Shanghai University of Electric Power, Shanghai 200090,China)

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本文已被：浏览 835次下载 1649次
投稿时间：2011-07-05

中文摘要: 综述了现代投资组合理论,总结了在保证投资收益的基础上能有效降低投资组合风险的数学方法,验证了投资组合理论的正确性,并指出了均值方差分析方法在实际运用中的局限性。

中文关键词: 投资价值投机价值风险率市盈率收益率协方差

Abstract:Modern portfolio theory is summarized,which holds that the combination of different risky assets after the investment income on the basis of guarantee can reduce the risk of the portfolio.This article proves the correctness of the portfolio theory.The theory of portfolio size,rate of return,variance and covariance of the relationship are discussed.

keywords: investment value speculative value risk rate PE yield covariance

文章编号：20120321 中图分类号： 文献标志码：

基金项目:上海市教育委员会创新基金(11YZ192)

作者	单位	E-mail
黄亮亮	上海电力学院电力与自动化工程学院	bruceliang@126.com
王勇	上海电力学院电力与自动化工程学院

Author Name	Affiliation	E-mail
HUANG Liang-liang	School of Electric Power and Automation Engineering,Shanghai University of Electric Power, Shanghai 200090,China	bruceliang@126.com
WANG Yong	School of Electric Power and Automation Engineering,Shanghai University of Electric Power, Shanghai 200090,China

引用文本：
黄亮亮,王勇.投资组合风险的均值方差分析[J].上海电力大学学报,2012,28(3):287-290,297.
HUANG Liang-liang,WANG Yong.The Average Investment Portfolio Risk Analysis of Variance[J].Journal of Shanghai University of Electric Power,2012,28(3):287-290,297.