Research On Methods For Portfolio Choice Based On Factor-Model

A new trend in developing modern portfolio management theory is to improve the transparence of risk allocation, which is also the corn idea of the newly risk budgeting technology and which can be acted by factor model, one of the effective method. Unless we have a thorough theory about portfolio investing decision with factor-model, the decision on portfolio choice with factor-model cann't be implemented on the practice of portfolio management.This paper extends and developes Sharpe(1963) and Fama( 1996, 1998). It studies the methods on portfolio investment decision with factor-model which are founded respectively in different theory frame about portfolio investing decision, and which can be used respectively in different phases of portfolio management and in different market environments. It also tried to offer as many methods and tools as possible for investors and investment managers.First, under the condition of passive portfolio management, the paper simplifies mean-variance model by market model and CAPM. By doing so, we enduce β -model for portfolio investment decision, β -model for portfolio investment decision with net holding controlled, time varying β -model for portfolio investment decision, β -value portfolio investment decision models with restricted short sale allowed and β -model for portfolio investment decision under the condition of no short sale, and went deep into their solutions and properties, and also did empirical study on some above models using china security market data. The results showed that those models were efficient in internal market without considering the precondition of security exchange mechanism limitation.Based on portfolio investing decision method of one factor, and also under the condition of passive portfolio management, this paper tried to combine factor model and mean-variance modeling idea to found the multi-factor model for portfolio investment decision under the condition of short sale allowed and the multi-factor model for portfolio investment decision under the condition of no short sale separately. We studied their solutions and parameter's setting method. They can provide more flexible modeling basis for institution investment manager's strategy investing decision and passive investment...