The Research Of The Modern Portfolio Theory In Chinese Fund Market

Fund has developed for more than one and a half century since its originated from England in 1868. With the emerging of the first mutual fund of jin tai fund in March.1998, our fund market has developed fast with the sustaining policies for funds. In order to come up with the step of other developing country and be suitable for the gradually globalize market;we should build the fund portfolio theory for ourselves.At this paper, I try to apply the portfolio theories into the security 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. This paper discusses the applicability of portfolio theory and certifies the effect of these theories.At first, chapter one show something about the background and aim of choosing this subject, and the studying actuality on and abroad and so on.Then, I look backward about the history of portfolio. In one hand, I found it was just by subjective judgment for old portfolio theory after reading it;on the other hand, I discuss the Markowitz's means-variance theory, Sharpe's Single-Index model, and simple multi-index model introduction. And then, I introduce the study methods and the results, which the scholars achieved.In the third chapter, this paper suggested some faults from four factors by analyzing several recent funds actuality and the content above paragraphs.In the fourth chapter, the application effect of portfolio theory has been verified, In my empirical study, the samples are Fund KeHui, Fund JingYang, Fund YinHeJingXuan and Fund GuangFaJuFu, the data use their week from 2004/12/31 to 2005/12/30. 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 is mostly less than those of the fund's, then consider the Single-Index I use the Sharpe's measure, Treynor's measure, Jensen's measure to analyze these portfolios, find that the performance of theory's the fund's. So I get the conclusion that the two models is better than can be treat as guidance but short sell disallowed caused that we couldn't find the solves.However, there still some problems such as complex calculation etc need further research. In the last chapter of this paper, it points out some advices of developing equity mutual fund and perfect the application of portfolio theory in China currently.