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The Research On The Mathematic Models Of Investment Choice And Assets Pricing

Posted on:2005-01-14Degree:DoctorType:Dissertation
Country:ChinaCandidate:Z Y HuFull Text:PDF
GTID:1116360125458917Subject:Applied Mathematics
Abstract/Summary:PDF Full Text Request
Modem portfolio management and investment theory is a financial theory, which studies the measurement of risk and return of financial assets under uncertainties. Since the theory was established in 1950s, it has been on the frontier of modern financial investment theories. Specially, the emergence of financial mathematics, as a method of studying financial economics by means of modern mathematics, is a symbol which indicates that financial investment decisions are no more only describing studies or pure empirical researches but reaching to a highly stage of numerical analysis. In our country, with the economic growth and the innovations of economic systems, especially with the shunt of financial and security system and with the competition with international markets, financial investment decisions face more and more complicated theoretical and practical problems. So the researches on mathematic models of investment-selecting and assets-pricing become more and more important.Mathematical finance blossoms with the development of financial market. In 1950s there emerged many outstanding achievements, such as the famous Mdigliani-Miller theorem. Mathematical finance flourished from 1970s and gradually developed to a integrated mathematically economic theory. "Security Market: the Random Model" written by D. Duffie published in 1988. "Financial Economics Basis" written by CF. Huang published in 1989. In their books presented lots of new science thoughts. At the same time, the researches on security investment deepened and associated with mathematical finance researches. The studies on security analysis and mathematical model of security investment become the frontier and combination of financial research and security research. Famous scholars in this domain such as Markowitz, Sharpe and Miller (in 1990 ; Merton and Scholes (in 1997 have been awarded Nobel Memorial Prize in Economic Science for their contributions to modern financial theory.The researches on mathematical finance started relatively late in our country. There are not systematic studies until recent years. Though we achieved some developments in some aspects, there is a long distance from foreign advanced researches and few practical mathematical models. On the basis of deeply and thoroughly studies in modern financial economics, investment theories and other relevant theories, we make systematic researches on portfolio optimization and assets-pricing theory with the application of mathematical techniques. Furthermore, we try to get some mathematical models withreferential meaning to the construction of capital markets and the practice of financial investment in our country.This book is organized in four chapters. Chapter one puts emphasis on one-stage stationary portfolio management theory. Considering the characteristics of the present capital markets in our country, we put forward several useful portfolio optimization models. Chapter two mainly analyzes the classical model of capital market equilibrium-pricing theory (CAPM and some other extensions. Under the assumption of free competition, the market price normally fluctuates stochastically around the equilibrium price. CAPM shows that under equilibrium conditions, the method of pricing capital and assets is a development of portfolio optimization theory. But the classical CAPM is very different from the practical capital market; an equilibrium-pricing model is presented in this book under more usual conditions. The secure market in our country is very young, so a derivative model of CAPM is also put forward to describe its characteristics. Chapter three includes the analysis of arbitrary pricing principle, the difference between APT and CAPM, and some problems existing in the application of APT model in our country. There are fewer hypothesis and broader thoughts in APT, so it can explain the reality better than CAPM. On the other hand, APT is ambiguous in answering which factors affect the capital profit, so it will not take the place of CAPM. Chapter four is mainly about the assets-pricing...
Keywords/Search Tags:portfolio optimization, capital asset pricing model, arbitrage pricing theory, dynamic pricing theory, mathematic model
PDF Full Text Request
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