International Diversification Investment Portfolio Based On Mean-Variance Model And Its Empirical Research

In recent years, with the development of financial market globalization and the free flow of capital, information techonology and equity investment, diversification investment portfolio have been focused by more and more investors, meanwhile discussing the international equity deversification investment portfolio have been a topic in financial academic area. According to the theory of investment, investors can conduct diversification investment portfolio in order to decrease investment risk. The international diversification investment portfolio can decrease risk better, because the relevance between equities in different country is lower than the relavence between equities in the country.The paper reviews and summaries investment portfolio theory and single cycle theory of investment portfolio in the theatrical level.The single cycle theory of investment is also called static investment theory. This paper discusses investment portfolio theory on the foundation of systemically analyzing the single cycle theory of investment portfolio. The investment portfolio with highest performance must minimum the risk under a certain expected profit rate or maximum the profit rate under a certain risk level. In this paper, the writer explains the precondition and the deviation process of capital asset pricing model and arbitrage pricing model by using empirical research and mathematical formula.In the view of microeconomy, this paper discusses how to ensure the effective coverage and the relevance beteen investment targets in the process of conducting investment portfolio to maximum expected effect. Through this, the writer explains the inter relationship between risk and profit, analyze the asset portfolio theory and capital portfolio issues under non-risk assets and short selling condition.What’s more, this paper also discuss the foundamental question of investment portfolio analyze, which is the effective coverage issue and show how to inference the effective coverage of investment portfolio.The paper also choose the main capital markets in the world as the research object and make an empirical research on equity price index during1998and2013. The average profit ratio of the capital market is shown by the change of equity pricing index. We can get a best investment portfolio based on a certain profit ratio by calculating the relevance and variation between different capital markets. At the same time, through analysing the relevanve between deference capital market, a conclusion has been made that there is stll possible for the diversification investment portfolio to decrease the investment risk.Otherwise, this paper points out that on one hand, the data in the paper are all ex-data with no prodiction, on the other hand, the exchange risk has not been considered. For Chinese investors, Chinese currency will keep appreciate in a long time in the future. According to this, investors may face higher risk than we concluded in this paper while conducting diversification equity portfolio investment...