论文标题:投资组合选择理论在我国开放式基金中的实证研究
Empirical Study of Investment Portfolio Theory in Chinas Open-ended Funds
论文作者
论文导师 杨湘豫,论文学位 硕士,论文专业 应用数学
论文单位 湖南大学,点击次数 242,论文页数 50页File Size1973K
2007-10-20论文网 http://www.lw23.com/lunwen_4441947/
Investment portfolio;; Open-ended funds;; Empirical study
本文尝试将投资组合理论运用于我国开放式基金市场,将理论构造的组合与基金实际组合进行比较,通过投资组合业绩的比较来确定理论组合与基金实际组合孰优孰劣,并以此判定投资组合理论在中国证券市场是否适用。 首先回顾了投资组合理论的发展,详细讨论了单期(即静态)投资组合理论,介绍了Markowitz的均值一方差理论、Sharpe的单指数模型,并指出运用这些理论模型进行投资组合的方法就是解决给定期望收益并以风险最小化为目标或给定风险并以收益最大化为目标的二次规划问题。同时,简要介绍了国内外学者在投资组合领域所采用的研究方法和结果。 其次,在上述理论基础上,假定基金将所有资金投资于所持有的年度十大股票之中,将基金平均周收益率作为给定收益率,以方差作为风险度量,分别以Markowitz的均值-方差模型、Sharpe的单指数模型为理论基础,在允许卖空和不允许卖空的前提下,以风险最小为目标分别进行二次规划分析,得出最优投资组合。 在实证研究中,本文选取了基金景顺长城内需增长等4只开放式基金为研究样本,以2006年1月4日至2006年12月31日的周收益率为样本数据,分别建立Markowitz模型和Sharpe单指数模型的二次规划模型。利用Excel的归划求解方法(Solve),在允许非负假定及不允许非负假定的前提下求解二次规划问题,得出在不允许卖空和允许卖空的前提下的最优投资组合。比较理论组合和基金实际组合方差的大小,并应用夏普测度(Sharpe’s Measure)、特雷诺测度(Teynor’s Measure)和詹森测度(Jensen’s Measure)比较单指数模型组合与基金组合的优劣。结果发现:(1)4只基金中有3只基金的理论模型的风险小于基金实际组合的风险,1只基金的理论模型的风险大于基金实际组合的风险;(2)单指数模型组合与Markowitz模型组合熟优熟劣难以定论;(3)允许卖空组合优于非允许卖空组合,且非允许卖空使得理论模型有时找不到最优解。 研究结果表明,Markowitz和单指数模型对我国目前证券市场具有一定的指导意义。另外卖空限制的缺陷要求加快我国证券市场制度建设和股票衍生工具的研究,从而促进证券市场健康发展。
This paper attempts to apply the portfolio theory to China’s open-ended fund market, and to judge which portfolio is feasible for predicting the securities market in China, through comparing the performance of the theoretical portfolio with that of the practical portfolio. Firstly, this paper reviews the development of portfolio theory, and discusses the single period (static state) portfolio theory in details, then it introduces Markowitz’mean—variance theory and Sharpe’s single exponential model, and finally points out that the application of theoretical model on portfolio is to solve the quadratic programming problem of expectations for earnings under the minimal target risk or expectations for risks under the maximal target benefits. Meanwhile, this paper briefly introduces the research methods and results from domestic and foreign scholars in the field of portfolio. Secondly, based on the above-memtioned theories, the paper assumes that the fund invests all its capital into the top 10 stocks annually. Using the Markowits’mean—variance theory and the single exponential model of Sharpe as the theoretical basis, this paper gives an analysis of the quadratic programming problem of expectations for earnings under the minimal target risk, finally gets the optimal portfolio under the precondition of allowing short-selling or not. In empirical study, through selecting the weekly yield of Jingshun Great Wall open-ended fund from January 4, 2006 to December 31, 2006 as sample data, this paper establishes the quadratic programming model based on Markowitz model and Sharpe’s single exponential model, respectively. Under the promise of allowing non-negative assumption or not, using the“solve”function in Excel to get the best portfolio, under the disallowing short-selling and or not. What’s more, this paper compares the variances between the theoretical portfolio and the practical portfolio, and employs the Sharpe’s Measure, Theynor’s Measure and Jensen’s Measure to analyze which is the best between the single exponential model of Sharpe and portfolio investment. The results show that: 1. In the selected four funds, the theoretical risk of three funds is less than that of the actual portfolio fund, and only one fund’s risk is higher than that of the actual portfolio fund; 2. It’s hard to determine which combination is better between the single exponential model and Markowits’model;.3. Allowing short-selling is better than disallowing short-selling and the optimal solution can not be found under the condition of disallowing short-selling. The results show that, Markowitz model and single exponential model have some significance in the China’s present securities market. Besides, the enforcement of short-selling restrictions requires more efforts in the building and research of China’s securities market and stock derivatives so as to promote the healthy development of the securities market.
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