| 基于CAPM的黄金风险溢价研究 |
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| 引用本文： | 蒋亚军.基于CAPM的黄金风险溢价研究[J].价值工程,2004,23(7):93-95. |
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| 作者姓名： | 蒋亚军 |
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| 作者单位： | 上海大学国际工商管理学院 上海201800 |
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| 摘 要： | 运用CAPM理论中的边际风险价格的概念,通过分析一个包含了黄金市场和股票市场在内的市场资产组合,定量给出了黄金的风险溢价。同时检验了黄金收益是否在CAPM框架内有效。在与我国股市进行比较之后,得出投资者可将黄金包括到投资组合中去,以取得更好的风险收益比。
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| 关 键 词： | CAPM黄金 边际风险价格 风险溢价 |
The analysis of risk premium of gold based on CAPM |
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| J iang Yajun.The analysis of risk premium of gold based on CAPM[J].Value Engineering,2004,23(7):93-95. |
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| Authors: | J iang Yajun |
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| Abstract: | Using the definition of marginal price of risk in the CAPM theory,this paper shows the risk premium of gold after carefully analyzing a market portfolio,whi ch consists of gold and stock simultaneously.Meanwhile,the paper tests whether t he excess return of gold is in equilibrium within the framework of CAPM.It concl udes that,compared with the stock market,gold should be included in investors'po rtfolio to get a better risk-return ratio. |
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| Keywords: | CAPM gold marginal price of risk risk premium |
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