Research On Portfolio Theory And Capital Market Equilibrium Model

In 1952, Harry M. Markowitz, who was the founder of contemporary investment theory and was awarded the Nobel prize in 1990, established new conceptions, theories and operable methods on computer. In 1964, William Sharpe brought forward Capital Asset Pricing Model (shortened for CAPM) on the basis of Markowitz' s, which has been the most important way studying venture capital in modern finance. In 1976, Stephen A. Ross innovated CAPM and set up Arbitrage Pricing Theory (shortened for APT).Markowitz pointed out that a desirable portfolio is never a list of first-class stocks and bonds, but a balanced integer which can provides protection and opportunities for investors under all circumstances. In China, with the economic reform, venture capital has been very important for each investor. All these cry for instruction of modern theory of investment. But we must make it clear that modern theory of investment, including CAPM and APT is based on a series of preconditions that are different from realities.In this thesis, mathematical induction of portfolio means -variance model and CAPM are introduced, and a brief introduction is given to the model of CAPM and APT under nonstandard situation meanwhile the practical meaning of each model is explained from the angle of economics. Empirical evaluation is operated on the data of stock prices in Chinese stock market, and the result can be used to investment in practice. The function of portfolio theory in investment fund and the prospect of application are also given in the end.