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Securities portfolio model and its empirical analysis

Author: WuHong
Tutor: LinZhengYan;ChenShangZhu
School: Zhejiang University
Course: Probability Theory and Mathematical Statistics
Keywords: Aggregate model Investment group Empirical Analysis Modern Portfolio Theory Markowitz model Investments in securities Multi-objective planning Fuzzy Programming Efficient portfolio Weighted Moving Average
CLC: F830.9
Type: Master's thesis
Year: 2003
Downloads: 372
Quote: 0
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There exists a problem which troubles the investors in the investment : which kinds to select and how to distribute in front of so many kinds of portfolio,so the investors can make own return to the satisfied degree,and will not be so serious even if meet with loss.In 1952,H.M.Markowitz published an article called"Asset selection:efficient decentralization of investment".He adopted the expectation yield of risk asset,and,at the same time.adopted variance (or standard deviation) which represents risk,for the study of selection and combination of asset.This is called the jumping-off point of the modern times asset combination theory by financial circles.After then,William.F.Sharpe advanced Capital Asset Pricing Model.The study of modern tunes asset combination theory in our country began in 1990 when Markowitz and Sharpe gained The Nobel Prize,such as Fei fang yu(1994) and Bei duo guang(1996) published several kinds of bookmakings which introduced modern times asset combination theory,simultaneity,Yang gui yuan(1995),Tang xiao wo(1994) published several articles which discussed the ways how to comformate efficient asset combination in modern times asset combination theory.This paper studies the ways to comfotmate the models of portfolio investment combi-nation,and demonstration analysis,divided into three parts.The first part:exordium.mainly introduces the risk of portfolio investment.The second part:brings forward several kinds of investment combination model,including the traditional Markowitz model,multiobjective programming and fuzzy programming.The third part:goes along with the demonstration analysis of each kind of model basted on the Shanghai stock market,at the same time,appraises the superiority and inferiority with the single-parameter measurement of tangible achievement.Before then,most papers discussed the static models,this paper extends the static models to the dynamic models by the means of weighted moving average and Bayes estimation.The conclusion is:multiobjective programming and fuzzy programming are superior to the traditional Markowitz model,compart:s the dynamic models with the static models,the former can reponse more soon to the wave of the stock price,so we can adjust period by period based on the dynamic models.

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Financial market
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