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本文借助于数量化方法研究证券投资中系统性风险结构的某些问题。在分析了有关升降β系数所存在的一些问题的基础上,建立了描写证券投资风险系统性的一组新的参数:强弱β系数βS与βW,研究了它们的一些重要性质,并应用到投资分析及系统风险与预期收益的结构分析中。作为应用实例,还对沪深两市的若干只股票进行估算。
This paper studies some problems of systemic risk structure in securities investment with the help of quantitative method. Based on the analysis of some problems existing in the rise and fall beta coefficient, a series of new parameters describing the systematic risk of securities investment are established: the strong and weak β coefficients βS and βW, some important properties of them are studied and applied to Investment Analysis and Structural Analysis of System Risks and Expected Returns. As an application example, some stocks in Shanghai and Shenzhen stock markets are also estimated.