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Evaluating The Portfolio Efficiency And Its Application

Posted on:2016-09-06Degree:DoctorType:Dissertation
Country:ChinaCandidate:D B LiuFull Text:PDF
GTID:1109330467489189Subject:Management Science and Engineering
Abstract/Summary:PDF Full Text Request
With the development of China’s financial market, the scale of financial productsis rapid expaned. More and more investors through them into the financial markets,and these products are essentially portfolios, so it is very great significance toevaluate them reasonable and accurate, which not only can guide investors to choosequality products, promote market survival of the fittest, but also improve theefficiency of capital markets, and facilitate the healthy development of the capitalmarket, to enhance the level of development finance community.In this case, how to grasp the characteristics of various financial products; howto play the financial data for the evaluation of the efficiency of the portfoliosupporting role; how to reflect the different preferences of investors in the investmentportfolio efficiency evaluation; how to evaluation of the portfolio efficiency from thedifferent perspective; how to effectively evaluate the portfolio in the long term, toensure that the fine service to investors, the effective management of risk, provide areliable basis for the regulators. All of these methods also are financial modelingInstitute of Theoretical and key scientific problems that must be solved.However, the existing studies on portfolio efficiency had many deficiencies.Firstly, the traditional evaluation methods were based on the CAPM[126], whoseassumption was very strictly, it is difficult to meet to applicate practical. Thetraditional method dose not reflect the preferences and the degree of risk aversion ofinvestors[57,58]. Above portfolio efficiency evaluation method has been widely used,but still has a lot of limitations. Because the distribution of the returns are notnormally distributed joint, when it is not appropriate to only use variance to measurerisk. Therefore, the evaluation will be needed to consider more risk indicators tosupplement the variance, but when considering the more risk indicators, it is verydifficult to calculate[151]. The practical investment is often muti-stage. But lessquantitative research on the dynamic portfolio efficiency, even though a number ofquantitative research is average efficiency, which dose not consider the links betweeneach stage[141,152].Therefore, a systematic study of the evaluation portfolio efficiency can not onlycompensate for inadequacies of existing evaluation theory, but also to establish aneffective evaluation method for financial products. Which provides effective guidance and reference for investors and government, and has important theoretical andpractical significance to promote the healthy and stable development of China’sfinancial markets.In this context, combining with risk measure theory[93,97], efficiency theory andportfolio optimization theory, starting from the frontier of portfolio, this paperresearchs the measure of portfolio efficiency. Through the different orientation (returnorientation, risk orientation or return-risk orientation) and different distance functions(radial, nonradial or slack, etc.), the measure can reflect the evaluators preference ofthe risks and benefits. According to your own preferences, evaluators can select thecorresponding measure, which makes the evaluation more purposeful andapplicability.But due to the presence of various frictions and restrictions on the actual market,the analytic solution of real frontier is difficult to calculate, even calculated, theworkload is very large, so that calculating portfolio efficiency is very difficult. Thispaper proves that when the frontier is a concave function, the frontier generated bylinear model can approximate the real frontier, thus the efficiency of the above can beestimated by linear model, which greatly simplifies the calculation of the portfolioefficiency, and the linear model is completely non-parametric method based on thedata which reflects a variety of restrictions and friction on the market. So it eliminatea lot of assumptions and has strong applicability. The simulation examplesdemonstrate the effectiveness of the proposed model.Then, for the non-normal distributions characteristics of return, this paper usedthe method by introducing more risk indicators. Since the actual return of assets arenot normally distributed, so only a single risk indicator to characterize the risk doesnot reflect the real situation. By introducing multi-index analysis method and buildingportfolio possible set and portfolio frontier, we establish multi-index efficiencyevaluation model and use the simulation to illustrate the characteristics andapplicability of multi-index model.Defining the multi-stage portfolio efficiency with dynamic portfolio frontier. Onthe basis of considering the linkages between the stages and the risk diversification ofportfolio, we establish the multi-stage portfolio optimization model, and further buildthe multi-stage portfolio efficiency evaluation model with different orientations anddifferent measures, and build multi-stage portfolio efficiency index by the weightedaverage efficiency of each stage. Finally, by simulation analysis comparing theeffectiveness and practicality of the proposed model. Finally, this paper use the mean-variance model, multi-index evaluation modeland the dynamic evaluation model to evaluate the open-end fund, get the fundefficiency with the different models, investors can according to the differenttendencies to choose different results. Through the different fund categories, we findthat bond funds and balanced funds performed better. By comparing the size of thefund and the proportion of institutional investors hold, we find that the small scaleand higher percentage of institutional investors hold are better performance, whichprovides valid reference to investors.
Keywords/Search Tags:Portfolio, Efficiency evaluation, Risk measure, Dynamic portfolio, Open-end fund
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