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本文选取2006-2016年中国综合A股上市公司的年、月平均净资产收益率为测试及检验样本,基于Markowitz的均值-方差投资组合模型和Yamazaki的均值-绝对偏差模型,在有效资本市场的股票价格波动行为下,构建了适合现代投资理论的盈余参数下的均值-方差投资组合模型及盈余参数下的均值-绝对偏差模型,借以检验新建模型对投资组合选择问题的适用性。实证分析结果表明:考虑盈余参数下的投资组合模型更能有效避免存在财务问题的公司,挖掘高估值、更有投资价值的企业,投资组合的收益率在降低风险的同时能得到稳定提高。最后,对投资者投资和政府监管方面提出了建议。
This paper chooses the annual and average ROE of China A-share listed companies from 2006 to 2016 as the test and test samples. Based on Markowitz’s mean-variance portfolio model and Yamazaki’s mean-absolute deviation model, Under the behavior of stock price volatility, the mean-variance portfolio model and the mean-absolute deviation model under the surplus parameters of modern investment theory are constructed to test the applicability of the new model to the portfolio selection problem. The results of empirical analysis show that the investment portfolio model considering the earnings parameters can effectively avoid companies with financial problems, and excavate enterprises with high valuation and more investment value. The yield of the portfolio can be steadily improved while reducing the risk. Finally, we put forward suggestions on investor investment and government regulation.