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Portfolio Optimization And Its Empirical Research In The Chinese Stock Market

Posted on:2003-10-08Degree:MasterType:Thesis
Country:ChinaCandidate:Z MaFull Text:PDF
GTID:2206360092470237Subject:Quantitative Economics
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Modern portfolio selection theory is about how investors optimize their utilities considering their incomes and risk and how they influence the whole capital market. Since it was formed in 1950s, it is always in the forward position of the contemporary financial investment theories. To research this theory deeply doubtless has important realistic meaning when stock market and financial investment has already constituted an important part in our economic live today.This article analyses systematically the main contents and tendency of modern portfolio theory, using the quantitative analysis as primary research method and the qualitative analysis as secondary method. It also uses the method of line programming, regression and time serial to make empirical analysis with stock market, trying to get some conclusions about our country.This dissertation is organized in four chapters:Chapter 1 introduces the mean-variance portfolio selection and its improvement. It expounds how the investors select the optimum solution to reduce the risk, which is the basis of modern portfolio theory.Chapter 2 analyses the most typical model of capital market equilibrium theory: Capital Asset Pricing Model (CAPM). It expounds the pricing method of financial assets, which is the development of portfolio selection.Chapter 3 analyses the index model and a new equilibrium pricing model: Arbitrage Pricing Theory (APT) extended from index model. APT is more persuasive than CAPM and is the research tendency of capital market equilibrium theory since 1980s.Chapter 4 makes empirical analysis to price behavior of shanghai stock exchange from several points of view. It also gives some advice to our stock market.
Keywords/Search Tags:portfolio selection, capital asset pricing model, arbitrage pricing theory, empirical analysis
PDF Full Text Request
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