馬克維茨均值方差模型在中國股票市場(chǎng)的應(yīng)用.pdf

1、碩士學(xué)位論文目錄目mImmiiAbstractIll引言1第一章Markowitz均其他模型介紹41.1鮮娜41.1.1收益41.1.2風(fēng)險(xiǎn)51.1.3組合投資61.2Markowitz81.2.1M險(xiǎn)投資有效邊界81.2.2無風(fēng)險(xiǎn)資產(chǎn)存在下的有效邊界問121.3基于VaR的金融資產(chǎn)模型151.3.1弓IW151.3.2均值VaR觀的有效邊界161.4基于LPM的金融資產(chǎn)0B模型181.4.1弓1“181.4.2向下風(fēng)險(xiǎn)測(cè)量191.4.

2、3有效邊界讓19第二章實(shí)賄％212.1利用Markowitz均勧纖型投資的擇股問題212.1.1樣本選擇212.1.2歸處aarfe232.2討論利用Markowitz均值方差模型投資的擇時(shí)問趣252.3三種模型的效用的比較292.3.1VaR的龍攤292.3.2LPM的綠攤302.3.3幾種計(jì)算^的對(duì)比302.4關(guān)于幾種觀的評(píng)價(jià)的思考322.4.1支持將三種指標(biāo)進(jìn)行排序的觀點(diǎn)322.4.2HXt將三種指#行排序的觀點(diǎn)332.4.3本人

3、的一些思考35第三章賊373.1關(guān)于Markowitz均型的一些總結(jié)和討論373.2實(shí)證結(jié)論383.3本文的缺點(diǎn)與不足38_捕39致謝42後碩士學(xué)位論文AbstractThispaperfirstintroducesthehistyofthedevelopmentoftheMarkowitzmeanvariancemodelthebasicideasresearchingmethodsespeciallypresentingonthei

4、ntroductionofconceptsofreturnrisk，therelationshipbetweenthemthebasicderivationofthemodel，whichisdividedintotwocategiestheoneonlyinvolvingriskyassetsandtheonealsohavingriskfreeassets.Thenthebasicmeanvariancemodelisapplied

5、intheChineseAsharemarket.Andtheproblemsofhowtoselecttheinvestmenttargetshowtodecidetheinvestmenttimingarediscussedcarefully.Thefirstoneisexplainedbycomparingthestardofchoosingstocksthesecondproblemthathowtodecidetheadjus

6、tmenttimeholdingperiodisillustratedbyusingtheRepeatedAdjustmentAct.Giventhevariance(starddeviation)measuringmethodsofriskhavingbeenchallengingallthetimethispaperusessomemodelsthatusingothervariablestomeasurerisksuchasVaR

7、LPM，thendrawstheefficientfrontiersandcomparesthem.Finallythisarticlehasdonesomecomparisonaboutthe“applicationefficiency”betweenthethreemodels，whichcantbecomparedbythepositionofdifferentefficientfrontiersinthecoordinateax