几种基于CAPM的最优投资组合构造方案及其比较

Several Procedures for Determining Optimal Portfolio Based on CAPM with Comparision

摘要: 本文在 William Sharpe 的资本资产定价模型（简称CAPM）的基础上，考虑了条件CAPM，就条件CAPM中的β系数为常数和时变系数两种情况，在不同的假设下分别给出了描述真实市场的模型，利用此模型给出了条件CAPM中模型参数的估计方法．对每种不同的描述真实市场的模型，我们选用了上海股市的若干股票构造了最优投资组合，并进行了投资组合评估分析，最后对这几种情况下的最优投资组合的表现进行了比较。

Abstract: In this paper, we give several procedures for determining optimal portfolio based on conditional CAPM. We give two market models in two cases: the β in Conditional CAPM is constant; the β in Conditional CAPM is not constant, For each model we give the methods for estimating parameters. At last, we select several stocks and make optimal portfolio based on this two models. We analyse tile result by comparing with that of CAPM, which shows that our two market models are better than signal factor market model.