The Study To The Measurement Of Return And Risk On Securities & The Portfolio Optimizing Model

In his seminal work, Harry.M.Markowitz introduced a mean-variance portfolio optimization model in the paper "Portfolio Selected" which published in "The Journal of Finance" 1952. This paper is considered the outset of the modern investment. During later half century, many portfolio selection models (Konno and Yamazali 1991, Sharp 1971, Stone 1973) which based on Markowitz's optimization model but they differed in the measurement of risk have been propounded and studied. However, whether Markowitz's optimization model or its substitutes have some lacunae. Their lacunae are mainly caused by the measure method of risk. So we must deeply study the measure method of risk as to offset the lacunae of Markowitz's optimization model or its substitutes. This paper deploys discussion based on this point of view. Using a new technical method, this paper deeply studies Markowitz's optimization model or its substitutes. This work can make people scan Markowitz's optimization model from another angle. In first, this paper studies the moving models of security's price. With the non-linear track differentiator law, a new moving model of security's price is set up. This paper simulates and forecasts the SHSI (Shang Hai Securities Index) with the new model. Second, this paper studies the measure ways of return and risk about securities. According to the historical date of securities' return, this paper proposes four ways to measure the expected return of securities with the correlative knowledge of statistics and cybernetics. In order to reflect on generally risk as well as gusty event, this paper proposed a new measure way of risk —'energy' risk in view of exchange quantity and price of securities utilizing a physical concept. Finally, this paper deeply studies Markowitz's optimization model and its substitutes along with their utility maximizing problem. In technique ways of these models, this paper use a new way — geometrical way which created by author. The geometrical way is the complementarity of the usual mathematical programming ways. At the same time, the geometrical way can solve some problem that the usual mathematical programming ways can not solve.