Empirical analysis on risk of security investment

作     者：AN Peng LI Sheng-hong 

作者机构：Antai College of Economics & Management Shanghai Jiao Tong Univ. Shanghai 200052 China Dept. of Math. Zhejiang Univ. Hangzhou 310027 China 

出 版 物：《Applied Mathematics(A Journal of Chinese Universities)》 (高校应用数学学报（英文版）（B辑）)

年 卷 期：2009年第24卷第2期

页      面：127-134页

核心收录：

学科分类：12[管理学] 120204[管理学-技术经济及管理] 1202[管理学-工商管理] 08[工学] 080203[工学-机械设计及理论] 0802[工学-机械工程] 

基　　金：Supported by Zhejiang Provincial Natural Science Foundation (Y604137) Student Research Training Program in Zhejiang University 

主　　题：Markowitz Mean-Variance Model Capital Asset Pricing Model time series analysis regressive analysis securities market 

摘      要：The paper analyzes the theory and application of Markowitz Mean-Variance Model and CAPM model. Firstly, it explains the development process and standpoints of two models and deduces the whole process in detail. Then 30 stocks are choosen from Shangzheng 50 stocks and are testified whether the prices of Shanghai stocks conform to the two models. With the technique of time series and panel data analysis, the research on the stock risk and effective portfolio by ORIGIN and MATLAB software is conducted. The result shows that Shanghai stock market conforms to Markowitz Mean-Variance Model to a certain extent and can give investors reliable suggestion to gain higher return, but there is no positive relation between system risk and profit ratio and CAPM doesn＇t function well in China＇s security market.