Study Of The Optimal Size Of Well-diversified Portfolio Based On The Sse 180 Composite Stocks

By the comprehensive comparison of the portfolio theory, based on the practicality and the feasibility of realistic analysis, the paper explores empirical research of the E-V model and the VaR constrained portfolio theory .Taking into account the representation of the stock, this paper chooses the 180-stock index composite stocks as the object of study and constructs different size equally-weighted portfolio by randomly selecting stocks to analyze diversification effects. The well-diversified portfolio can been determined by the cost-benefit analyses. Since the defect of VaR, we use CVaR as the risk measure, and we can determine the well-diversified portfolios by the same method.By comparing the empirical results of the E-V and E-VaR model, it can be found that: (1) the systemic risks dominate the total risk in Shanghai Stock market, the proportion is about 60%; (2) since the non-systematic risk takes a low proportion, by holding a small portfolio size it can be eliminated, thus only 6 stocks can construct a well-diversified portfolio. This fully demonstrates the fact that the high systemic risk in Chinese Stock market. The paper finally shows that the high systemic risk would undermine the stock market function in resource allocation and regulation of the economy and analyses the causes of high systemic risk, and the corresponding suggestions.