【作者】 徐康；

【导师】 李忠民；

【作者基本信息】 天津大学 ， 数量经济学， 2007， 硕士

【摘要】 本文以金融投资组合理论从传统到现代的演变发展为基础,阐述该理论在国内外的应用和存在的问题,对单指数模型以及资本资产定价模型在我国证券市场的应用进行实证分析,并对如何改进现代金融投资组合理论在中国证券市场中的运用进行一系列探讨。本文首先阐述了传统投资组合理论及其局限性、现代投资组合理论的产生和发展。第二章主要介绍了现代金融投资组合理论的适用前提假设,尤其是市场有效性假设,以及关于市场有效性的争论,并讨论了中国股市的有效性,以判断现代金融投资组合理论在我国股票市场的适用状况。第三章介绍了狭义的现代金融投资组合理论,主要论述了风险度量方法、现代金融投资组合理论的模型,包括马克维兹均值—方差模型、均值—半方差模型以及LPM方法,并对它们的应用效力进行了比较和评价。本文对LPM模型的表达式进行了改进,提出了一种在不同风险程度赋予风险计量式不同阶数的矩的方法。第四章介绍了资本资产定价模型,回顾了国内外学者对于资本资产定价模型所进行的实证研究,针对国内进行的实证研究所存在的数据的时效性、市场指数选取的有效性问题,本文选择2001年至2006年的上证A股市场60支股票的周收益率数据进行CAPM的实证检验,实证结果显示:上海股市系统性风险与收益并不存在CAPM理论所预料的线性关系。资本资产定价模型是关于期望收益的论断,然而实际上,任何人都可以直接观察到已实现的收益,为了使期望收益变成已实现收益,可以运用指数模型。第五章介绍了单指数模型、多因素模型及单指数模型在我国的应用情况,对股市上涨与下跌情况下不同股票的选取进行了探讨,然后对中国股市进行了一些相关性分析,以检查现阶段能否用单指数模型来描述这些股票收益的相关结构。第六章讨论了现代金融投资组合理论在我国的应用情况、存在的问题,并提出了一些解决的办法,最后总结了该理论在我国资本市场的适用性,对该理论在我国的应用前景进行了展望。更多还原

【Abstract】 This paper bases on the evolution and development of the financial investment portfolio theory from the traditional to the modern, expounds application and the problems of the theory, analyses empirically the single index model and the Capital Asset Pricing Model in the application in China’s securities market, Conducts a series of discussions on how to improve the utilizing of the Modern Portfolio Theory in the China’s securities market.First this paper describes the traditional portfolio theory and its limitations, and the emergence and development of the modern financial portfolio theory. Chapter 2 introduces the hypotheses of the modern financial portfolio theory, in particular the Efficient Market Hypothesis, and the arguments on the Market Efficiency, and discusses the efficiency of China’s stock market in order to judge the application situation of Modern Portfolio Theory in China’s stock market.The third chapter describes the narrow Modern Portfolio Theory, discusses the risk assessment method and the models of Modern Portfolio Theory, including the Markowitz mean-variance model, the mean-variance model and the mean-semi variance model, as well as they are compared and evaluated on the efficiency of the application. This paper puts forward an improved model on the Lower Partial Moments, puts forward a method giving the formula which measures the risk different moment on the basis of different loss values.Chapter IV first introduces the Capital Asset Pricing Model, reviews the empirical study of the domestic and foreign scholars on the Capital Asset Pricing Model, in view of the problems of data timeliness, the validity of the market index being selected of the domestic empirical study, we chose the weekly interest rate data from 2001 to 2006 of the 60 stocks of the Shanghai A-share stock market for the CAPM Positive Test. The results show that there is not linear relationship expected by CAPM in the gains and systemic risk of Shanghai stock market.The Capital Asset Pricing Model is a thesis on the expected profit, but in fact, anyone can have direct observation of the realized gains, in order to let expected profit become realized gains, we can use single-index model. Chapter 5 presents the single-index model, the multi-factor model and the application of single index model, discusses the selection of different stock with the rise and fall of the stock market, then conducts some correlation analysis on the China’s stock market to examine at this stage whether or not the single-index model can describe the related structures of these stocks receipt.Chapter VI discusses the application and the problems of Modern Portfolio Theory, and put forward some solutions,finally draws a conclusion on the applicability of the theory in China’s capital market, makes a prospect on the application of the theory in our country.更多还原