投资组合理论及其绩效评价模型的应用研究

【作者】 彭耿；

【导师】 曹兴；

【作者基本信息】 中南大学 ， 技术经济及管理， 2003， 硕士

【摘要】 分散化投资的观念早已深入人心，但是，在Markowitz的投资组合理论诞生以前，此种观念是朴素的。Markowitz的投资组合理论为如何利用分散化投资来降低风险提供了科学的方法，因此在广大投资者中，尤其是投资机构，比如基金公司、保险公司及银行等，得到了广泛地应用。对于投资机构来说，为了吸引更多的投资者注入资金，必然就要提高本身的业绩，这通常是通过组合投资在不降低收益率的同时，降低投资风险来获得。反过来，对于个人投资者，必须考虑如何对各个投资机构的绩效进行评价。本文的主要目的就是为了回答这两个问题。 本文围绕Markowitz投资组合理论以及投资组合绩效评价模型在中国证券市场(以上海股票市场为例)的应用而展开。首先对Markowitz的“均—方差”投资组合理论在中国证券市场的适用性进行了实证分析，然后对目前国内外应用最为广泛的三个传统的投资组合绩效评价模型在中国证券市场的有效性进行了经验研究。以上的研究分别针对允许卖空以及不允许卖空两种情况、“均—方差”有效组合以及随机组合进行对比分析。得出了一个重要的结论：尽管组合投资的思想是正确的，但Markowitz组合理论及其绩效评价模型并不适合在中国证券市场中应用。其主要原因是由于中国证券市场发展不成熟，限制特别多，很不满足这些规范理论的假设条件。更多还原

【Abstract】 The idea of dispersing investment is widely known, but it is plain before the naissance of Markowitz portfolio theory, which demonstrates how to use dispersing investment to eliminate risks. Therefore in many investors, especially in investment institutions such as funds, banks, insurance companies and so on, the theory is applied widely. To abstract more small investors’ bankroll, the investment institutions must improve their performance. Generally, they utilize portfolio to eliminate risks but not to reduce proceeds. Contrarily, other investors must consider how to evaluate the performance of investment institutions. This paper aims to answer the two questions.The main content of this paper is about the application of Markowitz portfolio theory and its performance evaluation models in Chinese security market. Firstly, the paper studies the applicability of Markowitz Mean-Variance portfolio theory in Chinese security market. Then the validity of three classical portfolio performance evaluation models is analyzed. The researches above are done under some different conditions, such as allowed short sale and unallowed short sale. Finally a conclusion is drawn that Markowitz portfolio theory and its performance evaluation models can’t be applied in Chinese security market efficiently despite the idea of them is right. The main reason is the distemperedness of Chinese security market in which many hypothetic conditions of the theory are too difficult to meet.更多还原