Equity Dynamic Portfolio Empirical Analysis With Beta Coefficient

It has been more than 60 years since portfolio theory was put forward by Markowitz.Portfolio theory has got significant progress and development in many aspects,such as multi-period mean-variance model,simplified calculation to mean-variance model,modification to the measure of variance and relaxation to the original assumptions.In practice,portfolio theory was extensively applied by financial institutions and investors after it was presented,and finance has got into the stage of quantification.This thesis advances a quantitative and dynamic methodology for stock portfolio management that consists of two processes—industries and stocks selection and portfolios optimization.To portfolios optimization,determination optical weights are the most tasks.In chapter three and chapter four,that processes are mainly studied.Chapter three samples Shen Wan first-class industry index from June 2014 to September 2015,which consists of bull and bear market.After verifying the relationship between beta coefficient and market tendency,this thesis calculates the up-market ?coefficient and down-market ? coefficient and choice six outstanding industries according to up-market ? coefficient and down-market ? coefficient.Chapter four constructed dynamic multi-period mean-variance model via introducing two exogenous variables—calculating window's width L and holding-on period H.This paper calculates that exogenous variables by traversing method and does the empirical dynamic portfolio according to industries' typical stocks.Given a certain risk tolerance level,the author looks for the optimal exogenous variables and adjusting weights with MATLAB programs to maximize investors' utilization.Finally,the author invests with the optimal exogenous variables and contrastively analyzes dynamic portfolio strategy and passive investment strategy with performance appraisal index,such as annualized returns,risk-adjusted returns and prediction market return.The results indicate that dynamic portfolio strategy is more excellent than passive investment strategy in three performance appraisal index.All in all,this thesis advances a quantitative and dynamic asset management methodology for investors,and it has theoretical significance and practical utility.On one hand,it verifies the Chinese stock market is ineffective;on the other hand,it can help investors decide how to allocate the asset.