马科维茨模型与单指数模型在马来西亚股票组合选择上的比较

Zhang Chern Lee, Wei Yun Tan, Hoong Khen Koo, Wilson Pang
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引用次数: 0

摘要

我们的文章主要是将马科维茨投资组合理论和单一指数模型应用于富时马来西亚证券交易所 KLCI(也是我们的市场指数)所包含的 10 只股票的 10 年历史月回报数据,以及无风险资产(即每月定期存款利率)。我们将计算马科维茨模型和单一指数模型的最小方差投资组合和最大夏普投资组合,并在五个不同的约束条件下,以表格和图表的形式呈现结果,以便对不同的模型和约束条件进行比较。我们希望本文能为未来对马来西亚股市感兴趣并希望构建高效投资组合的投资者提供有用的信息。关键词马科维茨投资组合理论、单指数模型、富时马来西亚KLCI指数、有效投资组合
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Comparison of Markowitz Model and Single-Index Model on Portfolio Selection of Malaysian Stocks
Our article is focused on the application of Markowitz Portfolio Theory and the Single Index Model on 10-year historical monthly return data for 10 stocks included in FTSE Bursa Malaysia KLCI, which is also our market index, as well as a risk-free asset which is the monthly fixed deposit rate. We will calculate the minimum variance portfolio and maximum Sharpe portfolio for both the Markowitz model and Single Index model subject to five different constraints, with the results presented in the form of tables and graphs such that comparisons between the different models and constraints can be made. We hope this article will help provide useful information for future investors who are interested in the Malaysian stock market and would like to construct an efficient investment portfolio. Keywords: Markowitz Portfolio Theory, Single Index Model, FTSE Bursa Malaysia KLCI, Efficient Portfolio
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