摘要
用方差或β系数来度量证券投资的风险是现代投资理论的基础,但一直受到实务界的质疑。作者从方差的分析着手,提出了证券投资的新的风险测度。通过新的风险测度,作者提出了广义β系数和广义CAPM。最后,作者运用沪深股市2002—2007年的数据进行了实证研究,证明了风险测度和广义CAPM的可行性。
Measuring the risk of securities investment by the variance or β coefficient is the fotmdation of the modem investment theory, but it has been questioned by the practice circles. Basing on the variance, the author raised new risk measures. Then, the author pro- posed generalized β coefficient and generalized CAPM by using the new risk measure. At last, the author made an empirical research using the data of China＇ s stock market from 2002 to 2007, and proved the feasibility of the risk measure and generalized CAPM.
出处
《广西财经学院学报》
2009年第6期57-61,共5页
Journal of Guangxi University of Finance and Economics
关键词
证券投资
风险测度
Β系数
CAPM
securities investment
risk measure
β coefficient
CAPM
