【作者】 杨军；

【导师】 徐广印；

【作者基本信息】 河南农业大学 ， 管理科学与工程， 2001， 硕士

【摘要】 证券组合投资理论是基于西方较完善的证券市场提出的一套投资理论。这一理论在我国的新兴证券市场的适用性和有效性问题是目前我国投资理论界研究的一个热点。 本文从证券投资组合理论的基本概念入手，分析三大投资理论的假设条件、理论核心以及相互之间的关系和区别。在此基础上使用我国证券市场的实际数据，运用二次规划方法求解了马柯维茨有效边界和切点组合；用回归的方法求解了单指数模型的切点组合；用二步回归的方法初步检验了资本资产定价模型；使用三业绩指数，对我国的基金进行业绩评级。 通过理论的研究和实证分析，本文初步提出了一些在目前我国证券市场上使用现代证券组合投资理论实现投资收益的最大化和风险最小化的途径，以及关于组合投资理论有效性的研究结果。更多还原

【Abstract】 The security portfolio investment theory was promoted on the basis of western developed security market. How about the efficiency and applicability of the theory when it is applied to our new developing security market. At present, the question has become a topic of general interest in our investment field.Beginning with the basic concepts, the paper analyzes the assumption, the kernel part, the mutual relationship and difference of the three main investment theory. Moreover, I make the positive analysis with the actual date of our security market. By means of quadratic programming, I get the efficient convex and portfolio at the point of tangency. Through the aggression, I get the portfolio of SIM at the point of tangency. With the two-step regression, I preliminarily test the CAPM. According to the three-achievement index, I grade some funds of our country./ aThrough the theory research and positive analysis, the paper preliminarily put forward some approach to maximize the investment profit margin and minimize the investment risk and give some research results about the efficiency and applicability of the theory at our current security market.更多还原