Empirical analysis on risk of security investment

(整期优先)网络出版时间:2009-02-12
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ThepaperanalyzesthetheoryandapplicationofMarkowitzMean-VarianceModelandCAPMmodel.Firstly,itexplainsthedevelopmentprocessandstandpointsoftwomodelsanddeducesthewholeprocessindetail.Then30stocksarechoosenfromShangzheng50stocksandaretestifiedwhetherthepricesofShanghaistocksconformtothetwomodels.Withthetechniqueoftimeseriesandpaneldataanalysis,theresearchonthestockriskandeffectiveportfoliobyORIGINandMATLABsoftwareisconducted.TheresultshowsthatShanghaistockmarketconformstoMarkowitzMean-VarianceModeltoacertainextentandcangiveinvestorsreliablesuggestiontogainhigherreturn,butthereisnopositiverelationbetweensystemriskandprofitratioandCAPMdoesn'tfunctionwellinChina'ssecuritymarket.