碳金融市场的马科维茨最优投资组合研究

Study of Markowitz Optimal Portfolio in Carbon Finance Market

摘要: 本文运用马科维茨投资组合理论研究我国碳金融市场的最优投资组合问题。选取北京、上海、广州以及湖北四个碳交易试点作为研究对象，根据四个碳排放交易所的碳配额收盘价计算日收益率，并分别在投资组合期望收益率一定的条件下和投资组合风险值一定的条件下建立马科维茨模型，得出了相应的资产最优投资比例。实证研究的结果说明了马科维茨模型在碳市场的最优投资组合研究中具有一定的适用性和可行性。

Abstract: We research the optimal portfolio of China’s carbon financial market by Markowitz’s portfolio theory in this paper. Four carbon trading pilots in Beijing, Shanghai, Guangzhou and Hubei are selected as the research objects. We calculate daily returns based on the closing prices of the carbon allowances of the four carbon exchanges and the Markowitz model is established under the condition that the expected rate of return of the portfolio is certain and the portfolio risk value is certain. Then, we obtain the corresponding ratio of asset investment. In addition, empirical research results show that the Markowitz model has certain applicability and feasibility in the research of investment portfolio of carbon financial market.