基于β 值的证券组合投资问题分析.pdf

基于β值的证券组合投资问题分析
管理学院信管系信息管理与信息系统专业张玲玲
学号:2002044010
【摘要】β系数一方面简化了投资组合风险的计算,一方面可以作为投资者风险控制
的参数,为不同风险态度的投资者提供一个选择组合的根据。本文基于β系数风险量度的
基础,通过搜集深证 A 股市场数据,运用基于β值的证券组合投资模型研究了两类投资者
——进取型投资者和保守型投资者的投资行为,比较分析了两类投资者的投资组合非系统风
险分散情况和投资组合收益情况。研究的结果表明: β系数能够作为投资组合风险控制的
有效参数,不同的风险态度支配不同的投资行为。本文的研究为不同风险态度的投资者提供
了投资组合操作策略在实际中的应用。
【关键词】投资组合; β系数;非系统风险;风险态度
【教师点评】本文结合证券市场实际数据,运用基于β值的证券组合投资模型研究
了两类投资者(进取型投资者和保守型投资者)的投资行为、投资收益以及投资组合非系统
风险分散情况。论文兼顾理论与实证,模型有一定难度,实例分析正确,结果令人满意,有
一定实用价值。论文结构合理,符合逻辑,是一篇较好的本科毕业论文。(点评教师:甘小
冰副教授)

An analysis of investment portfolio model which
is base on the β Coefficient
Lingling Zhang
Information Management and Information System, Dep. of Information and System Management,
College of Management
Student Number :2002044010
Supervisor: Associate Professor Xiaobing Gan
【Abstract】β Coefficient, on one hand, simplifies the calculation of the portfolio risk, on
the other hand, can be used as the parameter of risk control, providing a foundation for portfolio
investor of different risk attitudes. Based on the effect of risk measurement of β coefficient, by
establishing an actual example through collecting market data of Shen Zhen stock market, this
thesis is to do some research on two kinds of investors- aggressive investors and conservative
1
investors' investing behaviors, pare their non-market risk detracting state and their profits
by using the investment portfolio model which is base on the β Coefficient. The conclusion of
this research shows that β coefficient can be a good parameter for controlling risk and different
investment risk attitudes determine the investing behavior. The research of this thesis provides an
application stratagem of portfolio operation for investor with different risk attitudes.
【Key Words】 investment portfolio;β coefficient;non-market risk;risk attitude.

一、引言
(一)投资组合的可能性和目标
证券投资组合是投资者在证券市场上选择多种证券进行投资,以期获得投资收益,从而
使自己的资本增加的一种策略。而这种投资行为要建立在投资组合的可能性上,投资组合的
可能性来自