Performance For Portfolio Selection And Empirical Research

Portfolio theory has been an important part of modern financial theory and one of difficult and hot issues in scientific research nowadays. Its central problem is how to allocate and utilize capital assets under risk. Performance evaluation theory estimates actual operation result of portfolio and as one of the most important application part. The thesis dealt with these kinds of problems. The main empirical tests and innovations in the thesis are as follows.Influential paper argued that expected excess return on assets and investment portfolios should be related by a linear regression to the excess returns of a broad market portfolio and to other benchmark factor portfolios. In this paper, we provide financial equilibrium theory for the presence of these additional benchmark factor portfolios keep to the original purpose of the two-beta CAPM in Brennan (1993). This paper considers that multi-factor pricing model is given rise to by the market equilibrium effects of an institutional investor whose attempts to outperform these benchmarks. The objective of the institutional investor is modeled as the maximization of expected utility of final wealth minus these benchmarks. The empirical test employed the china capital market data supports the model's predictions. The factor model add safety factors predicts return when market state is bear because of the mechanism problem. The empirical study find that the power of explains of factor model improved significantly after introduced market states. This paper uses the Fama-French three-factor model and five-factor model adopted in the bear market for China stock investment funds, and empirically analyzes the performance persistence of China stock investment funds based on the cross-sectional regression. The results show the multi-factors model is preferable to the single factor Jensen model..This paper analysis the objective of the institutional investor is tracking an index; the behavioral hypothesis can be approximated to any degree of accuracy by a maximization utility function. The outperformance probability index is estimated by a large deviation approach. The probability decay rate is proposed here as a portfolio performance index in any returns distributed hypothesis. Without imposing approximations nor restrictions, the outperformance probability differs from the familiar power utility of wealth in that the power utility's risk aversion "parameter" must, like portfolio choice itself, be determined by maximization. The empirical test...