The Investment Portfolio And Applied Research Of Different Risk Measurement Model

In order to achieve the minimum risk and maximize returns, the main problem which isconsidered by investors is how to take wealth from a variety of assets to make reasonable andeffective configurations in the investment process。Based on this, this paper mainly utilizes thedifferent risk metrics and constraint conditions to research portfolio theory。First of all, the analysis and empirical calculation are made on individual risk metric model.The author introduces and analyzes the mean-variance, mean-downside semi-variance andmean-absolute deviation portfolio selection model and find out their own optimal portfoliostrategies based on the actual data and Matlab software.Secondly, the analysis and empiricalcalculation are made on portfolio risk evaluation model. The author introduces and analyzes themean-variance-downside semi-variance, mean-variance-absolute deviation and mean-absolute-downside semi-variance, and find out their own optimal portfolio strategy based on the actualdata and Matlab software. Finally, this part explains and analyzes the different constraintcondition, and improves the constraint condition of a single risk measure and portfolio riskmeasure in order to make those similar with the real investment. Then the simulation investmentis made on different risk measurement model in the same constraint condition so as to judge thefeasibility and effectiveness of each investment model.The innovation of this paper is to make a single risk metric model into combination riskevaluation model. And research the portfolio models which use the risk metric standard ofvariance-absolute deviation, downside semi-variance and absolute downside semi-variancerespectively. By Empirical Study, we have researched and certified the effectiveness andfeasibility of those three risk measures in different constraint condition.