The Evaluation Of Securities Investment Funds Investment Risk And Avoidance

In this thesis, we study how to evaluate and elude the risks in investment security fund. We choose a stock index in Shanghai security exchange as the market index and the closing price from Jan 22nd to Mar 28th 2002 as the data sample, which includes 38 trade days. We construct some portfolios, each of which is made up of the top ten stocks in the fund portfolios of Antai Fund, Anshun Fund, Anxin fund, Hanbo Fund, Handing Fund, Hanshen Fund, before Jane 30th 2002. Then we evaluate the performance ofeaqh portfolio we construct by way of Sharpe Measure, Treynor Measure, Jensen Measure, M2 Measure, we give some reference to investors in stock selection in this way. Furthermore, we study how to optimize the portfolio and find ways to elude risk. We discuss the portfolio optimum problem from two aspects, one has no expected proceed restrains, the other has expectant proceed restrains. We testify the optimum method by securities included in the Shanghai 30 securities index. As to the risk elusion, we propose some opinions and methods from the view of fund management and technology concerning about the current situation in Chinese investment security fund management.