Yield Under The Conditional Distribution Of The Csi 300 Portfolio Research

With the development of financial globalization, corporations, financial institutions, governments and academic circles in all over the world pay great attentions to financial risk. Measurement of risk is critical to financial risk management. With VaR measuring market risk, establishing portfolio is becoming the key method of managing stock risk for financial institutions at present.Based on relative price and conditioned return, when the price is stationary, we have researched the distribution of conditioned return and the calculation of conditioned VaR under the assumption that the logarithm of price obeys two-dimensional t distribution, and under the empirical distribution of price and return using kernel density estimation. In addition, we also have studied the price-conditioned return model when the price is non-stationary, And we get the result that Shanghai&Shenzhen300index return is related to the lag phase of BIAS and return.Under the risk control system based on VaR, we have further perfected the thought of controlling the risk of whole stock investment portfolio:selecting stocks, hedging in the stock index futures when it’s bear market and arbitraging at the suitable time. Finally, we establish μp-VaRp model at the theoretical level. As to controlling systematic risk, through the empirical study, in the paper we established trend discriminant model to determine the suitable time of hedging in the stock index futures and built the optimal hedge ratio model to get the scale of investing in stock index futures. The results show that, the trend discriminant model is effective to distinct the turning points of the stock market, and investing in the stock index futures based on the long hedge ratio is better to hedge the systematic risk when the stock is bear market.At last, using the conditioned return expression based on two-dimension normal distribution which has been studied by other scholars, taking the sampler stocks of Shanghai&Shenzhen300index as research object, we set up the optimal portfolio model, namely μs-VaRs, with the method of the standard of stock selection and hedge in the stock index futures. Comparing the accumulative return of portfolio from μs-VaRs with that of the market index’s, we get the conclusion that the portfolio is leading the stock market and can bring more benefits for investors.