Risk In A Portfolio Of Securities Investment Funds Quantitative Analysis

The strategy of diversified investment is a efficient measure to control the risk of security investment. This article researches into the analyses of the risk of diversified investment of security investment funds by mathematical methods.According to the different understanding to the efficiency of the security market, the basic investment strategy of security investment funds can be divided into aggressive investment strategy and passive investment strategy. Those security investment funds who recognize security market is efficient would take passive investment strategy, otherwise aggressive investment strategy would be taken. Following this thinking way, this article chooses two security investment funds who take aggressive investment strategy and three optimizing index funds as research objects, researches into the risk analyses of diversified investment of security investment funds. Main points of every chapter as following:The part of foreword generally introduces the frame of this article and basic research methods.Chapter one, researches about the impact of diversified investment to reduce the risk of security investment, analyzing the risk of the portfolio of these two security investment funds taken aggressive investment strategy. Chapter two researches into the efficiency of these two portfolio. Results of the research show that, these two portfolio are not the efficient portfolio. Compare with the minimal risk of the efficient portfolio , the risk of these two portfolio could be reduced by a big margin.Chapter three discusses about the following error between norm index and three optimizing index funds. Chapter four analyses the uncertainty risk of the expected profit ratio of these three optimizing index funds. Results of the research show, in Fund Pu-Feng, the systematization risk only accounts for 57% of general uncertainty risk of the expected profit ratio, the proportion of Fund Xing-He and Fund Jing-Fu are 77%and 75%. This result shows that the diversified portfolio of these three optimizing index funds are not well diversified portfolio, the non-systematization risk has not been eliminated effectively.