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Portfolio Management: Theory And Practice

Posted on:2002-06-14Degree:DoctorType:Dissertation
Country:ChinaCandidate:W WangFull Text:PDF
GTID:1116360065950375Subject:Finance
Abstract/Summary:PDF Full Text Request
This thesis looks into some areas of portfolio theory through both the theoretical and practical research. The areas under the research have proven puzzling the market practitioners. The research illustrates the existence of the market inefficiency and hence the possibility of excessive return. Three trading models, Volatility Adjusted model, Momentum model and Dynamic Management model have been developed based on the market-price mechanism analysis. The operational issues of portfolio management are also discussed in order to introduce the operational tools and procedures that are necessary for achieving excessive returns. The developing history of the portfolio management in China is briefly reviewed. The current status of the portfolio management in China is analyzed both qualitatively and quantitatively and the strategies for growing the portfolio management industry are proposed with due respect to China's current status quo.The portfolio management theory can be traced to the beginning of the 20* century. For the last half century, the portfolio management theory has been constantly refined in response to the progress of the portfolio management industry. This thesis is motivated by these developments of both the theoretical research and the industrial practice. The mainstream theories as represented by Efficient Market Hypothesis and Markowitz Modern Portfolio Theory, etc. have set up various "linear" and "continues" asset pricing models that have been broadly applied in the portfolio management industry. Such work becomes the theoretical foundation for the thesis. On the other hand, the chaos theory, whose exploration into the portfolio management is relatively recent, applies the fractal and non-liner concepts in physics to the market-price mechanism analysis, thus makes a consequent challenge to the traditional views of linear market-prices change. Such a complexity theory has shed light on the thesis. The very existence of hedge funds which take on the challenge to the mainstream theory, explore the market inefficiencies and develop some valuable methods that are significant to the portfolio management both theoretically and practically, provide a real-world case for the thesis. The quantitative risk theory, such as VAR and option pricing model, are extensively utilized in the portfolio management, and therefore is central to this thesis. The study of the operational issues of the portfolio management process in the developed countries has offered some useful guidance to the development of the portfolio management in China.The theme of this thesis is to study the portfolio management along two lines based on my practical experience: one is the research on market-price mechanism and on the market efficiency. This is done with intention to achieve an excessive return from the market-price movement, and to have the ability of a more dynamic risk control, etc. The other is the research on the operation of the portfolio management process with the application of state-of-the-art risk management techniques and an emphasis on the quantitative risk management including an advanced value system and risk budget, etc.There are four parts of this thesis. The main content and conclusion are summarized as follows:Part One is the Introduction. In this part, the content of the portfolio management is preliminarily analyzed, the methods and innovations of the research are briefly discussed, and further research subjects are suggested. The structure of this thesis is also elaborated.Part Two includes Chapter 1 and Chapter 2. The history of the portfolio management theory is reviewed and the developing trend of the portfolio management theory is also discussed in Chapter 1. A number of questions to the mainstream theory of the portfolio management are raised in Chapter 2. It is illustrated that there exist inefficiencies in the market such that it is possible for investors to achieve the excessive returns. Hedge funds and their investment strategies that are a challenge the mainstream theory are also discussed...
Keywords/Search Tags:Portfolio management, Theory, Practice
PDF Full Text Request
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