Design And Risk Analysis Of Optimal Portfolio Portfolio

With the gradual establishment and perfection of financial system in China,people’s investment way is more and more diversified. In order to spread and reduce risk, portfolio investment becomes investors’ ideal financial transactions methods. For investors, it has become important problems that how to choose assets which have high investment value as investment object in the complex and changeable market when we construct a portfolio and how to distribute wealth in a variety of assets reasonably. Based on the above, firstly, this paper measures the investment value of securities through statistical indicators, and looks for securities which have high investment value to invest. Then it studies optimal portfolio theory by different methods of risk measurement and constraint conditions, explores the model which is the most suitable for the stock market in China by research of theory and practice aspects, and studies the influence of different parameters on the optimal portfolio risk.Finally, aiming at the shortcomings existing in the models, the paper puts forward the improved methods.Stock prices are changing because of the influence of many factors, it is the root of investors profit that whether we can evaluate securities’ investment value accurately over a period of time in the future. If investors choose a stock that has space to rise in price, they will make a high profit. On the contrary, if investors choose a stock that has no investment value, they will lose a lot. The paper constructs securities investment value evaluation indicators based on statistics, combines statistical analysis and investment analysis, and evaluates securities investment value by quantitative indicators. This is helpful for us to improve the feasibility and science of evaluation.Portfolio theory mainly studies how to reach equilibrium between returns and risk by asset allocation. When yields obey normal distribution, Markowitz mean-variance model is frequently used to construct optimal portfolio. But reality can’t meet the assumptions in the model. Combining with the actual situation ofsecurities market in China, the paper improves Markowitz mean-variance model,constructs mean-variance model that don’t allow short-selling, mean- variance model that contains risk-free asset, mean-variance model that contains the cost of trading,and mean-variance model that contains risk-free asset and the cost of trading. Besides,the paper introduces Va R which is a new method of risk measurement to mean-variance model, constructs Mean-Va R model under different constraint conditions and mean-variance model under the constraint of the Va R respectively, and compares models from different angles. The results show that Mean-Va R model which is based on the time-weighted history simulation method accords with the actual situation of securities market in China most. Finally, the paper uses the model to do empirical research, analizes the influence factors of the optimal portfolio risk in order to help investors to set parameter values reasonably, and improves the traditional income and variance estimation method by using the single factor model and multi-factor model to reduce the estimation error.