Study On The Theory And Method Of Securities Portfolio

The Portfolio Theory is an important theory of the investment on capital market and the underwriting on insurance market, and plays an important function for the stability and development of these two kinds of markets in the west developed country, therefore, in order to accelerate the prosperous and stable development of Chinese capital market and insurance market, it is very necessary to study the theory and method of portfolio. The author uses three classical portfolio theories, portfolio selection, capital assets pricing, arbitrage pricing and the economics together with the operational procedures to create a new portfolio method which is to construct a high level portfolio first, then a low level one and finally combine them into a two-folded portfolio. The author in this dissertation makes an application of the new method over the capital market to show its advantages in use. With the portfolio method the author makes a positivism study on the going on the market of Chinese insurance companies: makes a quantitative analysis on going on the market which proves the going on the market to be an efficient approach to risk scattering, connects the financing, investment and insuring with a portfolio model, and builds up a quantitative risk control system which covers investment, financing and insuring accesses and fulfils the controllable transfer of risk and positive interaction between capital market and insurance market. The two-folded portfolio theory and the mathematical model on insurance company capital portfolio which have been put forth in this dissertation have a reference value on the investment and the insuring.