Expansion Of The Securities Portfolio Management Theory And Applied Research

On the basis of making a thorough study about modern financial economics, investment, and especially Markowitz's portfolio theory, and thinking about our country's practice, this text has made a more systematic study in the portfolio investment behavior.First of all, introduced have been the concept, causes, main content and study's methods about the security portfolio, the traditional security portfolio management, and Markowitz model and its solutions; discussed have been the insufficient places of Markowitz model; and indicated have been the development study directions about it.Following, making development study from the three directions: the first one is how to reduce calculation when to use Markowitz model. This text has improved the efficient frontier of markowitz model utilizing free risk assets, and reduced calculation about revenue rates' co-variance matrix utilizing single or multiple factors, and so on. The second one is to add thinking factors about, such as transaction fee, fund limitation, lowest transaction unit's limitation, risk measures and exchange rate risk of international portfolio securities, so as to make Markowitz model closer to our country's practice. The third one is to make dynamic expanding study of Markowitz model. Investment model are suggested when to regard securities revenue rates as stochastic sequence. It is made a thorough study that M-V efficient frontier drift along with assets varieties' increase, and its track and direction was described with help of analytic method and geometric figure.After that, made is positive analysis in our Shenzhensecurity market of the basic hypothesis prerequisite of Markowitz model and it's a series of expanding models, that is, "security market is efficient", getting a conclusion that it is the efficiency of the weak form, and further more, it is gotten that three factors APT model is on the whole suitable in our country through the positive study of Shanghai-shenzhen security market.Finally, combining our country's practice, this text has introduced a practical quantity model for our country's security investors, discussed its solution method, and cited a concrete instance in its application. The new model and its solution method have important value in theory and software development.