上海股票市场的投资组合分析：基于均值-绝对偏差的折中方法

摘要

Large scale portfolio analysis to stock markets in China has not been much discussed in the lite-rature. In this paper, based on the approach of a tra de-off between mean and absolute deviation, we investigate the portfolio perfo r mances of 169 A stocks in Shanghai stock market. Some useful conclusions are de rived, which are helpful to understand the investment in Shanghai stock market both for the investors and the market supervisors. This paper indicates that the software QuanzPortfolio utilized is efficient to cope with the large scale port folio data, and helpful to analyze the portfolio investment in secuity markets f or investors (in particular, the fund company).%针对中国股票市场的大规模投资组合分析在文献中尚很少予以讨论.本文基于均值-绝对偏 差的折中方法探讨了上海股票市场169种股票的投资组合分析，得到了一些有益的启示和结 论 .这些结论将有助于市场投资者和监管者深化对上海股票市场投资的理解.本文所使用的投资 分析软件Quanz Portfolio具有大规模投资组合的数据处理能力，将是投资者(尤其基金公司 )的市场投资组合分析的有用工具.