Font Size: a A A

A Research On Risk Measure & Portfolios Of Htsss

Posted on:2003-02-20Degree:MasterType:Thesis
Country:ChinaCandidate:R F YangFull Text:PDF
GTID:2156360065962234Subject:Technical Economics and Management Studies
Abstract/Summary:PDF Full Text Request
the paper faced to the problem of relative of return vs. risk and the efficiency of portfolio, the selected object is High-technology sector in Shanghai Stock Market. It is concise thinking Of the paper that use Capital Assets Pricing Model, Arbitrage Pricing theory, factor Model arid theory of portfolio management to study the relatives between return and risk Of shares. At the same time, the author analyzes the "Value" of shares portfolio, i.e. whether portfolios can diversify really non-systematic risk while keeping the return at proper level in stock market.the paper includes six chapters. Chapter 1 is theory of risk Vs. return; it is the basis of the paper, the chapter begins from classifying investors, in theory the paper is aimed at risk aversor. this chapter takes use of functional forms and marginal conceptions to analyze deeply the theory of risk vs. return, to study return regardless of risk and risk regardless of return is ho value.Chapiter 2 discusses the theory of assets portfolios, which starts to analyze investor, arid deduces framed investor's feasible set arid efficient set, discUss different forms and characteristic of efficient portfolio, and systematic analyzes the effect of portfolio, risk diversification, followed briefly summarizes the formation, development, application and limit of the "theory of portfolio, created by Markowitz.Chapter 3 tells Shanghai stock market arid High-tech sector, the object of the paper. Section 1 illustrates shortly a few problems of Shanghai stock market related the paper, and analyzes the .course of developing, scale, evolvement of exchange institution of Shanghai stock market. Section 2 illustrates systematically high-tech sector, and analyze total cases Of samples of the paper, compared with Citic High-tech Index. Finally section 2 analyzes the fault of selected samples and the possibility and direction Of follow-up study.Chapter 4 discusses Capital Assets Pricing Model (CAPM), Factor Model and Arbitrage Pricing theory (APT), econometric instruments of the paper. As CAPM and APt is in the course of continuing developing and perfecting, so three sections illustrate CAPM, Factor Model and APt in detail. But because of the natural fault of stock market and high-tech sectors, the effectiveness of application of CAPM and APt is limited; what's more, their hypotheses limit the scope and surroundings of complete application. But the thought and origin of CAPM, APt and Factor Model have sortie similarity, that is, Sottie risk can gain compensation; but not all risks faces a kind of return. of CAPM complied With b, factor sensitivity value of APT, i.e. When CAPM and APt are tenable, equals to the product of b and a constant, the constant is the ratio of Vat of market portfolio arid Cov of factor and market portfolio. The author discusses three Common measures of estimating factor model in section 2.Chapter 5 applies three instruments and the theory of portfolio to calculate return, risk and portfolio effect, carries on CAPM test and APT test of share and portfolio. The author analyzes some potential trends and intra-law between the data, examines1 HIGH-TECH SECTOR OF SHANGHAI SECURITY MARKETthe creditability and explanatory degree of data result. The author obtains much unexpected data except expected data. The process of disposing of data is repeatable, maybe the errors exist, but the coin and false doesn't exist.Chapter 6 is economic explanation to chapter 5 and conclusive analysis. The author tries to construct a relative ideal actual portfolio to verify the investment performance, i.e. makes Sharpe's Ratio and Treynor's Ratio to adjust return deviating risk.
Keywords/Search Tags:risk measure, portfolios, HISSS
PDF Full Text Request
Related items