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The Comparison Study Between MV Theory And LPM Theory In China

Posted on:2005-06-15Degree:MasterType:Thesis
Country:ChinaCandidate:H N YanFull Text:PDF
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In the financial investment area, risk is an eternal and attention-attracting topic. It has been a long time risk measure method has been being researched, and in thefinance area, variance and ft are most widely used as measures of investment risks.These two measures are introduced under a series of strict assumptions, but these assumptions conflict with the real market conditions and investors' real feeling. In 2003, QFII system was formally introduced and actualized in China, and it will foster the development of our security market significantly. Meanwhile, the implement of QFII system will change the investment concept of our security market, and investors will take a more scrupulous attitude toward security investment risks. In this article, the LPM method and the mean-variance method will be compared, under the real conditions of Chinese security market, in order to find out the better method in measuring investment risk. At the last part of this article, the equilibrium analysis method will be introduced to assess the risk-averse coefficient of investors in Chinese security market. This article is divided into six parts: the first part will give a simple introduction of the research background and the meaning of this article, so as to illustrate the importance of security investment risks; the second part will introduce the categories and forms of security investment risks, in order to form a firm understanding about characters of investment risks; in the third part, domestic and foreign researches on measuring security investment risks will be introduced and appraised, and the disadvantages of each measures will be analyzed; in the fourth and the fifth part, the LPMn method and the mean-variance method will be, theoretically and practically, compared, and in the fifth part the effective frontier method will be discussed; at last, in the sixth part Chineseinvestors' risk-averse coefficient will be assessed under conditions of Chinese security market, besides, advices will be offered.
Keywords/Search Tags:lower partial moment, mean-variance theory, effective frontier, risk-averse coefficient
PDF Full Text Request
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