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中文摘要：
从股市上采集的大量股票收益率数据表明，前后相邻的股票收益率数据呈现出一定程度的依赖关系，即前期收益率呈现出大的波动幅度，紧接着后期收益率也呈现出大的波动幅度，这样的波动特点被称之为“波动聚集性”，“风险传染性”，在金融计量上，通常用收益率的方差来定量刻画收益率的波动幅度的大小和相应收益率风险的大小，因此本文选用能准确拟合金融资产收益率方差的GARCH模型来刻画金融资产收益率的这种“风险传染性”，在此基础上应用协同持续思想构建了投资组合的风险优化控制模型，并求得了相应最优投资组合权重。选取6支股票作了实证检验，检验结果表明，按该模型配置的投资组合收益率长期被控制在较小的风险范围，在统计上亦表现出较高的夏普比。
英文摘要：
A large number of stock market data indicate that the dependence of stocks occurs between consecutive data earlier and later, in other words, the large volatility is followed by large one, namely ＂volatility aggregation＂, ＂risk infectionn, and, in econometrics, the variance of the return ration quantitatively depict the range of volatility and the size of the risk, so this paper applys the GARCH model that can accurately fit the variance of the return ration of the financial assets to describe the transmission of risk of financial assets benefits and the optimization of risk control for the portfolio is built on the base of co-persistence idea, correspondingly, the solution is obtained. The empirical results from six stocks shows that the risk of portfolio is restricted in small scope in horizontal time and a smaller Sharp Ration is presented in statistics.
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