An Empirical Study On Security Portfolio In China

Return and risk is an eternal topic in the area of investment.In 1952, Harry M. Markowitz published a landmark paper, Portfolio Selection, which is generally viewed as the origin of the modern portfolio theory. He described the return-risk as the means-variance, and used this approach to study the problem of portfolio selection.Based on Markowitz's theory, there was a great achievement about capital pricing theory abroad in 40 years recently. The two systems, CAPM and APT, had been built, and there were plenty of empirical studies, respectively.Because the history of our country's capital market is too short, the studies in the area are shortage, not only the theories itself but also empirical analysis. Recently, theorists introduce these advanced theories into our country, and apply these theories with empirical study to inspect whether these theories are applicable into the new capital market.At this paper, I try to apply the portfolio theories into the security market of our country, structure the theory's portfolio, and check which one is better, the theory's and the fund's, I want to find whether this theories can be used as a rule.At first, I look backward about the history of portfolio, discuss the single-period's approach, introduce Markowitz's means-variance theory, Sharpe's Single-Index model, and indicate that it was a method of linear programming which minimum the risk and subject to a given level of expected return and the sum of the capital.And then, I introduce the study methods and the results, which the scholars achieved. Based on that, I get myself method: assume the samples are single-period, the funds invest all their capitals into the top 10 stocks, treat the week return as expected return, the variance as risk, according to the approach of Markowitz's model and Sharpe's single-index model, where short sales are allow or disallow, subject to the sum of total capital and the expected return, minimum the variance, use Excel's tool , Solve , to solve that linear programming and get the optimal portfolio.In my empirical study, the samples are Fund JingFu, Fund TongZhi, Fund PuHui and Fund TaiHe, the data use their week return from 2001/01/02 to 2001/12/31. After getting the results, I compare the variances between the theory's portfolio and the fund's portfolio, and find the risk of theory's portfolio is less than those of the fund's, then consider the Single-Index model, I use the Sharpe's measure, Treynor's measure, Jensen's measure to analyze these portfolios, find that the performance of theory's portfolio is better than the fund's. So I get the conclusion that the two models can be treat as guidance, but short sell disallowed caused that we couldn't find the optimal solves sometimes.