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Research on Portfolio Model Based on Comprehensive Score Method

Author: WeiDingYuan
Tutor: ZengXiangJin
School: Wuhan University of Technology
Course: Applied Mathematics
Keywords: Comprehensive score method Hesse matrix quadratic programming VaR(Value at Risk)
CLC: F830.9
Type: Master's thesis
Year: 2009
Downloads: 161
Quote: 2
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Abstract


As China’s market economy rapid development, people’s standard of living increased disposable income and more gradually up everyone’s sense of financial awareness and investment is also increasing investment has increasingly become a hot topic. As a result of China’s capital markets are underdeveloped, the scope of people’s investment options relative to narrower, negative real interest rates in the circumstances, direct investment in the stock market become the mainstream of investment behavior, so the proper use of portfolio models to manage their own investments with a very important practical significance.In 1952 , Harry Markowitz published a paper entitled "Portfolio Selection," This well-known thesis marks the beginning of modern portfolio theory. If investors only focus on "income rate" and "variance", Markowitz’s method is completely accurate. However, Markowitz’s portfolio model simply takes into account the corresponding company’s profitability. In my paper, combine with the securities investment analysis’ theory ,I evaluate a company’s financial situation in a comprehensive score method, not only consider a company’s profitability, but also consider its solvency and growth ability ,and then ,I construct a new portfolio model. And use operations research theory and office software Excel to solve the model.In addition, the volatility of financial markets have become more frequently. Either the financial regulatory body or the general investors, have to face the growing risks in monitoring or investment. It makes risk management more and more important. Many banks and law-makers started to use VaR method as a standard to measure the risk of the whole industry. Especially after the collapse of the Bretton Woods system, the currency market increased volatility firstly, and then pegged to the dollar’s fixed exchange rate was replaced by floating exchange rate system , interest rates fluctuations increased. At the same time, the international scope of activities in financial innovation kept surging, financial derivatives application made the link between the markets becoming more and more closely. Thus, we should pay more attention to the risk. Therefore in accordance with the relevant literature, this paper establishment a new portfolio model, the model put the VaR constraint in it, and used a geometric algorithm for solving the model.This paper set up a new portfolio model and proved the new model is effective than the original model by examples which chose from the real stock market. It also presents some advices on the direction of future job.

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