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Portfolio Modeling And Applications

Posted on:2005-05-13Degree:MasterType:Thesis
Country:ChinaCandidate:J LiFull Text:PDF
GTID:2206360122985609Subject:Quantitative Economics
Abstract/Summary:PDF Full Text Request
With the continuously consummation of China capital market and extend of organization investment scale, the securities investment portfolio has been an advanced problem in recent years. In order to find the influencing factors of securities yield, describe and weigh risk more exactly, which will make people's investment more rational, it is quiet important to research securities investmet portfolio.In the past portfolio modeling work, the single index model has been used continually, which is based on the suppose that securities yield is simple correlation with market portfolio (or coefficient ft used to describe securities market risk), but if above suppose is true and if the investment portfolio is effective? The thesis begins the research from this.The thesis consists of five parts.The introduction part introduces the academic and practical meaning of portfolio research.The first chapter introduces several important models of investment portfolio in the present capital market, such as Covariance Model, Capital Asset Pricing Model, Single Index Model and Arbitrage Pricing Theory. In the last of this part, the thesis analyse strongpoint and disadvantage of each model.The second chapter tests the relationship of securities yield and coefficient B first. The result indicates that the relationship is weak and there should be other factors acted on securities yield. So we consider five financial indexes includes stock B/P, E/P, current stock size, current stock stru and financial levge by the international tradition, then descriptive statistical test method and cross section statistical test method proved that B /P and current stock size have marked effect on the securities yield besides coefficient B.In the third chapter, the article fut forward a risk factor model, estimates yield sequences of every risk factor by weight regression, and then estimates each risk factor coefficient of different stock by time sequence regression, at last we can reckon the portfolio risk o2p and yield Rp which consists n stocks.The forth chapter is the demonstration part of the thesis, we make a portfolio by the above research result. Compared with the portfolio founded by simple index, the former yield is more than the latter, which indicates that our risk model and portfolio is rational and effective in recent China capital market, and bring more yield to the normal investors.
Keywords/Search Tags:Investment Portfolio, Coefficient β, B/P, Current stock size, Risk model
PDF Full Text Request
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