With the application degree of modern portfolio theories to Chinese capital market as its purpose and the development of these theories as the main thread, this paper utilizes five kinds of current popular modern portfolio theories to carry on an empirical study on its application to Chinese capital market, thus examines the applicability of these theories to Chinese capital market. According to the development trend of the modern portfolio theories, this paper divides these theories into two groups: one with the simplication of portfolio caculation as its purpose, and the other dedicating to the pursuit of new measurement standards and new investment rules for modern portfolio theories. This paper compares and tests the theoretical portfolio, (based on Markowitz's mean-variance model, Sharpe's single-index model, multi-index model, mean-VaR model and mean-CVaR model,) and the actual portfolio of the securities investment funds, and the benchmark portfolio based on the benchmark index respectively, and further analyses these application to Chinese capital market.This paper contains the following three parts:The first part elaborates the modern portfolio theory. Markowitz theory mainly analyzes the mean-variance model; The modern portfolio theory, with the simplication of portfolio caculation as its purpose, focuses on the single-index model and multi-index model; The other, dedicating to the pursuit of new measurement standards and new investment rules, mainly analyzes the mean-VaR and mean-CVaR model. It then evaluates each model and elaborates each application to Chinese capital market.The second part gives an entire introduction of the modelling process of portfolio in the empirical study. Firstly, it chooses the stock open-ended funds with good performance in 2008 as its research object, they are value funds( ChinaAMC Large Cap Se1ect Fund ) and growth funds( Fortune SGAM Advanced Growth Fund ). Then, it makes an empirical study on the two open-ended funds with the five portfolio model, and elaborates the modelling methods and their process.The last part, on the premise of short sales permitted and not, through such traditional performance evaluation indices as yield rate, Sharpe index, Treynor index, Jansen index and information ratio, compares the theoretical portfolio and the funds actual portfolio, theoretical portfolio and benchmark portfolio, inter theoretical portfolio respectively, as well as the performance of the same theoretical portfolio on the premise of short sales permitted and not. Thus it decides the theories'applicability to Chinese capital market. Finally, by performance evaluation it arrives the conclusion and proposes relevent suggestions. |