摘要
利用现代组合理论和 CAPM 模型对2005年4月8日至2006年10月16日期间我国保险资金运用中股票组合的收益和风险特征进行分析。分析结果表明:保险股票组合分散化效果良好,组合投资大大降低了股票投资的风险;当累计权重达到30%时,保险股票组合总体风险进入稳定状态;保险资金股票投资采用了积极、主动的投资方式,获得了超额收益;保险股票组合总体上呈现低风险、高收益的特征。
With modern portfolio thoery and CAPM theory, we made analysis on the investment yield and risk feature of stock portfolio of insurance companies from April 8, 2005 to October 16, 2006. Below is our findings： stock portfolio diversification will generate a good result for insurance companies as it sharply decreases the risks in stock investment; the overall risk for stock portfolio of insurance companies tends to be stable when the aggregate proportion of stock portfolio equals 30% ; if active investment is applied to stock investment in insurance companies, it will generate profits in excess; stock portfolio in insurance companies tends to be low risk with high yields.
出处
《保险研究》
CSSCI
北大核心
2007年第1期75-78,共4页
Insurance Studies
关键词
保险资金运用
股票投资
股票组合
系统性风险
insurance assets managememt
stock investmenr
stock portfolio
systematic risk
