Abstract： The single-index model and mutiple-factor model can’t measure preasely the risk in Chinese securities market so the thesis revises the single-index factor model by selecting market value circulation as a risk factor,then calculates the market value by using the average value of stock yield or the difference of the average value between the high earning ratio stock and the lower one.Finally,it builds a new two-factor model and testifies its applicability,which shows the two-factor model is suitable for our securities market.
张敏. 适合我国证券市场投资组合模型的构建[J]. 南昌大学学报(人文社会科学版), 2005, 36(05): 61-64.
ZHANG Min. Building of the Appropriate Portfolio Theory in Chinese Securities Market. , 2005, 36(05): 61-64.
2005, Vol. 36 
