公司证券投资研究

【作者】 曾高峰；

【导师】 陈武；

【作者基本信息】 西南石油学院 ， 管理科学与工程， 2003， 硕士

【摘要】 证券投资作为一门古老而崭新的课题，在发达的西方国家进行了深入细致的研究。随着马克威茨理论的建立及其后来的夏普和林特纳建立的CAPM模型，对证券投资的研究进入了一个新的阶段，然而这门学科在我国的发展受到传统的计划经济的影响，对其研究甚少。相关的研究也是立足于用已经建立的理论在我国股市上的实证检验。由于我国股市的不规范性及其理论本身的一些假设条件的不存在，所以很少的理论适合我国股市的现状。本论文从国内外同类研究存在的问题出发，详细论述了我国股市的现状、存在的风险及其防范对策，并且详细阐述了各种投资工具，在此基础上进行了证券投资分析，评析了当今流行的著名的各种投资理论，指出了他们存在的片面性。阐述了各种投资方法及树立正确的投资理念，并实证分析了CAPM模型在我国股市上的是否适用；在文章的最后，具体叙述了风险的概念、风险的度量，由于建立在马克威茨投资组合理论基础上的投资理论没有考虑具有交易成本的证券投资组合问题，因此，本文在引入了交易成本函数，并且证明不函数的正确性和适用性，这也是本文的一个创新点，最后具体叙述了如何规避证券投资的风险。更多还原

【Abstract】 Security investment is an old and new thing, was researched deeply in west countries. With the build of the Markowitz’s theory and CAPM model funded by Sharp and Lintner, the research of security investment run into a new period. However it was effected by the planned economic in our country, it was less researched in our country. Correlative research was also demonstrated based itself upon in our stock market. Because the abnormity in our stock market and the conditions of theory itself don’t exist, much less theories adapted to our stock market. This paper discussed the actuality of our stock market, risk and measures from the problems of inside and outside of the research in nation particularly. It comments and analysis several famous and popular investment theories, at the same time, it points their shortage. It discussed every investment implement particularly, on this base analyses the security investment, recited every investment method and erected right investment ideas. The thesis demonstrated the applicability of CAPM in our stock market. At last, it discussed the conception of the risk, the measurement of the risk. Due to the portfolio theory funded on the Markowitz theory didn’t take into account the cost of trade, so this paper inducted trade cost function and demonstrated it’s right . This is an innovation of my paper. At the same time ,it discussed how to risk-aversion.更多还原