Optimum Portfolio Under Different Risk Preference And The Running Efficiency Of The Securities Market

The old Italian saying "do not put all your eggs in one basket ", tells us we can diversify the risk by investment portfolio, which had been authenticated by Markowitz.He had also provided us with the best solution in the investment for risk avoidance investor. Nevertheless, the fact that every investor has different objectives and attitudes toward the risk, will eventually lead to different investment choices.So,a thorough understanding of the investors with different risk preference is of great theoretical value to consummate the modern risk portfolio theroy.What's more, the research is of great practical significance to standardize investors'behavior and promote the operation efficiency of Securities Market.Based on the general categorization facility, the paper classifies all the investors into three kinds as:risk adverse,risk indifference and risk seeker. Then through the combination of utility function and the assets portfolio theory, the paper analysis the risk aversion investment decisions in our stock market. But the classical portfolio model is too much rational, and it is very difficult to reflect investor's favoritism to the risk. So, from the angle of behavioral finance, this paper raises a cross classification to the investors based on the risk aversion and psychological traits. Then the paper makes a further analyze on the behavioral characteristic, finally come down to confidence traders,herding traders and Rational traders. Finally, through the establishment of the supply and demand functions and the using of the equilibrium analytical method, we conclude a mixed business model based on the investors heterogeneity. Combined with the actual datas in our stock market, the paper obtains empirical evidence of the mix-ed model.Through the theoretical analyze and empirical examination, we can conclude that:firstly, investors under different risk perference acts vary in their portfolio selection. When the distribution of yield rate is unknown, Markowitz's theory can not give us some specific guidelines; secondly, the reason that pricing models in the stream behavioral finance is not consistent with the practical running in stock market, lies in the fact that what it assumes is deviate to the reality severely. The model based on the assumption of consistency is a lack of the microeconomic foundation. And the mix-ed model based on heterogeneity proposed as before, not only reflects its microeconomic foundation, but also can be used to predict the market operation; thirdly, The stock market is a composite of "flocks" feedback effects and "rational traders". The conclusion of positive analysis about "flocks", "overconfidence"and "validity" are of the same characteristics, so who plays a main role depends on their distributions. We can safely say " where there are "Feedbacks" and " herds", the arbitrage role in the securities market is limited; Fourthly, the reasons that our securities market is operated at a low efficient, which lead to the asset price does not accurately reflect its intrinsic value, lies in low proportion of hedgers.