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Modern Portfolio Theory Research
Author: ZhaoLing
Tutor: LiJingWen
School: Graduate School of the Chinese Academy of Social Sciences
Course: Technical and economic
Keywords: Modern Portfolio Theory Efficient Market Theory Capital Asset Pricing Model Arbitrage Pricing Theory
CLC: F224
Type: PhD thesis
Year: 2001
Downloads: 1572
Quote: 7
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Abstract
Modern Portfolio Theory investors weigh the benefits and risks on the basis of expected utility maximization and thus the impact on the entire capital market, it is both the basis of modern financial theory of investment, is also the basis of the modern monetary theory. Modern Portfolio Theory, systematic analysis of the behavior of asset selection in the main body of investment under uncertainty, the effectiveness of the capital market, the equilibrium conditions and pricing mechanism, combined with econometric research improved empirical methods of modern portfolio theory. Papers from the portfolio microscopic analyzes, the internal mechanism of investors to establish an effective boundary to reduce investment risk and maximize expected utility in the first chapter, systematic analysis of Markowitz's portfolio theory, and the presence of nonrisk assets and short selling portfolio constraints. By the utility function of the structure of the investors about the risks and benefits of consumption and investment, the expected utility theory introduced portfolio analysis, in order to more accurately reflect the attitude of investors' gains and losses, further revealed preference structure of assets portfolio investment. Chapter II for the risk variance metrics gains normal distribution assumptions defects through the introduction of the expedition loss side DOWNSIDE RISK the risk constituted in effect methods and analysis of the investment performance of the negative side of the portfolio VaR method, indepth analysis of the irregular income distribution under the risk measure tool. Especially focus on the use of efficiency DOWNSIDE RISK method applicable to all types of preference functions LPM solving portfolio VaR constraints. VaR framework, just like in the Sharpe index unit risk excess return index, and similar to the mean  variance analysis, riskfree assets of the two funds separation theorem, to make up for the lack of variance metrics to improve asset allocation model of efficiency. Chapter transferred to the analysis of the theoretical premise of modern portfolio theory  Efficient Market Theory (EMH). Overview of the efficient market theory, on the basis of the history of the development process, review the pros and cons of the efficient market theory and the referential significance of China's capital market. Through the analysis of the effective definition of the market as well as the weak type, semistrong, strong type three characteristics of each market, a review of foreign scholars on the empirical results of the test of this theory, the test of the efficient market theory in two ways: First, according to definition of \The observation of these strategies can provide excess returns. Chapter departure from the idea of ??general equilibrium was investigated when implemented in accordance with the recommendations of all investors Markowitz expected profit maximization, the entire capital market to achieve a balanced, risk assets is how to determine the income measure of risk is and what the expected return and risk a series of questions to reveal the functional relationship between the standard capital asset pricing model (CAPM) to explain the inner logic of the capital market pricing mechanism. On this basis, we relax the standard capital asset pricing model, some strict assumptions, the system does not allow short selling, there is no riskfree assets, there is the personal income tax, there is a nonmerchantable assets, nonconsensus expectations, there is the impact on the price by static nonstandard capital asset pricing model, and from the dynamic point of view, the holding period when international capital asset pricing model, and thus simplify the consumeroriented capital asset pricing model to investigate the dynamic capital market pricing The theory provides a basis. Chapter in accordance with the logic of the arbitrage pricing theory (APT), starting from a more general point of view, will be in addition to market risk other risk factors included in the analysis of the process of the return on assets, capital market through the use of arbitrage opportunities can not continue to exist, all completely The replacement asset prices the same as a more realistic convincing law, derive the the asset arbitrage pricing model, and prove that the capital asset pricing model is just a special case of the theory. Based on indepth specific implementation steps arbitrage pricing theory detectability factor analysis and designation of factor analysis, a comparative study of the pros and cons of the two, thus improving the operability of the arbitrage pricing theory. The first five chapters of theoretical analysis on the basis of Chapter VI starting from the point of view of the empirical research, focusing on modern portfolio theory test model. ; Basis of previous studies on the overall design concept of China's securities market efficiency test model, particularly the use of a large number of econometric latest research results, such as unit root tests, time series autocorrelation test, cointegration test causality test, laid a method on the basis of a comprehensive study of the efficiency of China's securities market. Secondly, the redundant twopath regression of the asset pricing model, using the timevarying nature of the improvement CAPM timeseries regression model and examine the estimated coefficients, sectional regression model including the system risk nonlinear impact and nonsystem risk, so as to avoid rabbit regression model set heteroscedasticity statistical issues. Arbitrage pricing theory test model proposed joint inspection and return on assets of the sensitivity of the risk factors and their risk premium nonlinearity test design ideas, so as to overcome the traditional twopath regression testing method applies only to the strict factor structure defects and improve the overall efficiency of the inspection.

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