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The Research on the Mathematic Models of Investment Choice and Assets Pricing

Author: HuZongYi
Tutor: WangZhiCheng
School: Hunan University
Course: Applied Mathematics
Keywords: Portfolio Optimization Capital Asset Pricing Model Arbitrage Pricing Theory Dynamic pricing theory Mathematical model
CLC: F224
Type: PhD thesis
Year: 2004
Downloads: 1087
Quote: 3
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Abstract


Modern portfolio investment theory is based on the configuration and selection of financial assets as the research object, to the uncertain circumstances, the asset allocation of the risks and benefits of metering for the content of financial theory, the theory has been since its formation in the 1950s, has been at In the forefront of the the contemporary financial investment theory, especially with the advent of modern mathematical methods to study the financial and economic financial mathematics, marking the financial investment decisions began to emerge from a purely descriptive study and simply experience the operation of the state, into a quantitative analysis of senior stage. With China's economic development and the deepening of economic restructuring, especially financial, securities, institutional transition and to participate in the competition in the international market, the financial investment decisions facing more and more intricate theoretical and practical problems, the mathematical model of the investment options and asset pricing Research increasingly important theoretical value and practical significance. Financial mathematics research and development with the development of the financial markets, already in the 1950s, many outstanding achievements such famous Mdigliani-Miller theorem, since the 1970s, has become increasingly active, and gradually form a relatively complete mathematical economic theory. 1988 D. Duffie \Huang \At the same time, the Securities Investment Research deepening and the gradual integration of research and mathematical finance. Securities analysis methods and securities investment mathematical model, a study of the current international financial and securities combination of points and cutting-edge research. In this regard, several of prominent scholars such as H. Markowitz, W. Sharpe, K. Merton, M. Scholes has won the Nobel Prize in Economics in 1990 and 1997. Financial Mathematics in China started relatively late, in recent years, began a more systematic study made some progress in some respects, but overall, still a big gap with the international advanced level, the number of practical mathematical model than less. In-depth study of the theory of modern financial economics, investment and other tools and mathematical methods of modern mathematics, a systematic study of portfolio optimization and capital asset pricing theory, trying to get some of our capital market development and financial investment practice has to learn the meaning of the mathematical model. Text is divided into four chapters, the first chapter focuses on the analysis of single phase static portfolio theory, and combined with the actual investment in China's capital market, the establishment of a meaningful portfolio optimization model: The second chapter analyzes the pricing of capital market equilibrium the the classic model CAPM its extended model, under conditions of free competition, the ups and downs of the market price fluctuations, random variation, but always near equilibrium price yardstick, CAPM under equilibrium conditions, the way of the capital asset pricing, portfolio The development of the theory. But a wide gap between the classic CAPM and real capital investment options and asset pricing mathematical model study the market exists, this article seeks balanced pricing model in the more general case, especially for China's securities market is the characteristics of emerging markets research CAPM derivative model; Chapter the APT analyzes the basic idea, the study reveals the characteristics of the the APT pricing model of its similarities and differences with the CAPM and APT in the practical application of our APT actual explanation due to its smaller assumptions and broad thinking it stronger than the CAPM, but the fourth chapter of the study because there is no clear return on assets by what factors, resulting in unable to shake the status of the C Miao M; asset pricing mechanism in a dynamic environment, continuous-time asset portfolio optimization model and variable coefficients expansion, a as the Securities variety increases, the limited boundaries of change and its investment performance M-V drift.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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