浅析现代投资组合理论与投资基金实务的结合

随着中国经济的高速发展及人民收入水平的提高,证券投资在中国被广泛接受和运用。伴随着投资收益而来的还有投资风险,这也让人们逐渐意识到投资组合理论和证券投资基金的重要性。本文阐述了投资组合理论的发展概况,分析了现代投资组合理论的优越性及发展趋势,以及投资组合理论在中国证券投资基金中的可行性及必要性。     

证券投资组合(三)──证券期货交易中的统计方法(十)

三、马科威茨证券投资组合的数量模型一般地说,马科威茨证券投资组合的效果（收益和风险）优于随机简单等权组合的效果。因为,马科威茨证券投资组合包含了一个优化过程,采用优化方法确定各种证券的投资比例,为降低各种证券收益率之间的相关性,即降低风险,从组合中剔...     

证券组合有效性研究及实证分析

证券投资者最关注的是投资收益的稳定性问题,如果投资者将资金分散投资到不同的证券上,进行组合投资,各种证券在风险水平上和收益率水平上就能相互填平、补齐,使非系统性风险得以分散,进而能提高组合收益率的稳定性,这就是证券组合投资规避风险机理。早在50年代,美英等国证券市场发育较为成熟的国家就已开始了关于     

技术创新项目组合决策支持系统

一、证券投资组合分析 由于证券组合在思想上与技术创新项目组合相同,即都为了在风险和收益作出权衡考虑,因此,许多学者采用Markowits思想进行R＆D项目选择,然而,证券组合模型用于技术创新项目组合决策存在的缺陷有: (1)只适合于证券投资组合,而不适合于一般工程项目和新产品开发项目(技术创新项目)的投资决策.     

影响证券组合投资三个重要因素分析

在首先分析影响证券组合投资的三个重要因素以及它们的特征后 ,结合事例分析它们是如何影响证券组合投资的 ,最后得出三个重要结论 ,以加强投资者对证券组合理论和实践的认识 ,为证券投资者进行证券选择提供了科学的依据和方法。     

指数基金在我国证券市场中的应用

一、指数基金的相关概念根据投资组合理论,只要基金所选取的证券组合足够多,就可以构建一只同大盘指数波动走向的基金,从而有效地化解非系统性风险,这样指数基金就应运而生了。指数基金就是指按照某种指数构成的标准购买该指数包含的证券市场中的全部或者一部分证券的基金,其目的在于达到与该指数同样的收益水平。这种针对指数投资的模式被称为指数化投资,也叫作“资产等级投资”或者“消极投资”。指数基金的投资管理过程主要包括构建指数基金初始证券组合、现金红利再投资、证券权重调整及基金绩效监控等几个过程。１.构建初始证券组合。…     

Excel规划求解工具对组合投资的决策分析

一、证券最佳组合投资分析的Excel应用证券投资最佳组合的决策就是要寻求在给定期望收益目标下使风险水平最低的投资组合,或者在限定风险水平下使期望收益最高的投资组合。     

Markowitz''s证券组合投资决策模型的有效集解法

在分析Markowitz's证券组合投资模型最优解方法的基础上,给出了求解Markowitz's证券组合投资模型的有效集法.用该方法对一个具体实例的允许卖空情形与不允许卖空情形分别进行计算求解.实例的数值计算结果,显示该方法是可行行有效的.     

资产净持有可控的证券组合投资决策方法研究

证券组合的资产净持有是指证券组合内部的所有多头头寸大小之和与所有空头头寸大小之和的差。现代证券组合投资理论大都是在资产净持有占投资总金额的比例为1的条件下研究证券组合投资决策方法的。本文在允许卖空的条件下,以Markowitz的均值一方差理论和本文作者(1998)提出的β值证券组合投资决策模型为基础,分别提出并研究了资产净持有可控的均值—方差模型和资产净持有可控的β值证券组合投资决策模型。     

企业多元化的风险控制

多元化经营实际上是证券投资组合理论在实体经济生产经营活动中的应用,因而,证券投资组合理论是多元化经营的理论基础。     

考虑投资组合收益率完全分布信息的投资组合优化研究

前四阶矩并不能完全决定收益率服从何种分布,因而对于偏好某种特定分布的投资者而言,以往的高阶投资组合优化方法并不适用,应当进行考虑投资组合收益率完全分布信息的投资组合优化。本文提出了一种考虑投资组合收益率完全分布信息的投资组合优化方法,通过Gram-Charlier渐进展开来近似投资组合收益率的概率密度函数,以KL散度来度量投资组合收益率的概率密度函数与目标概率密度函数的距离,从而构建了投资组合优化模型,并给出了具体算例。     

A demonstration of the non-necessity of marginal conditional stochastic dominance for portfolio inefficiency

This paper demonstrates that a finding of marginal conditional stochastic dominance between two sub-portfolios of a portfolio, while sufficient for showing inefficiency of the portfolio and hence sub-optimality of the portfolio for all risk-averse investors, is not necessary. It is shown by an example that a portfolio can be inefficient even if, for all pairs of sub-portfolios, there is no marginal conditional stochastic dominance. In such a situation, a universally preferred portfolio can be constructed on the margin only by adjusting the shares of more than two sub-portfolios.     

资产组合投资的整体收益与风险

在进行资产组合投资时为了取得资产组合的多样化效应,投资者要做出两项选择。第一是选择什么样的资产构成作为投资组合。第二是在已选择的资产组合中每种资产所占的比重是多大。这两个选择的科学合理性就决定了投资人投资组合的整体效益与风险的大小。     

Minimum-cost portfolio insurance

Minimum-cost portfolio insurance is an investment strategy that enables an investor to avoid losses while still capturing gains of a payoff of a portfolio at minimum cost. If derivative markets are complete, then holding a put option in conjunction with the reference portfolio provides minimum-cost insurance at arbitrary arbitrage-free security prices. We derive a characterization of incomplete derivative markets in which the minimum-cost portfolio insurance is independent of arbitrage-free security prices. Our characterization relies on the theory of lattice-subspaces. We establish that a necessary and sufficient condition for price-independent minimum-cost portfolio insurance is that the asset span is a lattice-subspace of the space of contingent claims. If the asset span is a lattice-subspace, then the minimum-cost portfolio insurance can be easily calculated as a portfolio that replicates the targeted payoff in a subset of states which is the same for every reference portfolio.     

Project portfolio control and portfolio management performance in different contexts

This article investigates the nature and relationship of project portfolio control techniques and portfolio management performance, and how this relationship is moderated by situational idiosyncrasies of internal and external dynamics, industries, governance types, and geographic location. A worldwide questionnaire with 242 responses was used, of which 136 high‐performing responses were filtered out for quantitative analysis of best practices. Three portfolio control factors were identified: portfolio selection, portfolio reporting, and decision‐making style. Two measures for portfolio management performance were identified: achievement of desired portfolio results and achievement of project and program purpose. The results indicate that different portfolio control mechanisms are associated with different performance measures. A contingency model was developed, including moderating effects by contextual variables.     

A Stein-type shrinkage estimator of the covariance matrix for portfolio selections

The covariance matrix plays a crucial role in portfolio optimization problems as the risk and correlation measure of asset returns. An improved estimation of the covariance matrix can enhance the performance of the portfolio. In this paper, based on the Cholesky decomposition of the covariance matrix, a Stein-type shrinkage strategy for portfolio weights is constructed under the mean-variance framework. Furthermore, according to the agent’s maximum expected utility value, a portfolio selection strategy is proposed. Finally, simulation experiments and an empirical study are used to test the feasibility of the proposed strategy. The numerical results show our portfolio strategy performs satisfactorily.     

The long-run performance of initial public offerings: Stochastic dominance criteria

We examine the long-run performance of initial public offerings (IPOs) using the idea of stochastic dominance. The analysis is a first attempt using a non-event study methodology to evaluate long-horizon performance. We find that there is no first-order stochastic dominance relation between the IPO portfolio and the benchmark of a broad index or a portfolio including either small size or low book-to-market stocks. However, those benchmarks second-order stochastically dominate the IPO portfolio. When using a portfolio including both small size and low book-to-market stocks as benchmark, there is a clear dominance of the IPO portfolio over the benchmark for both orders. Our findings generally imply that the question of assessing portfolio performance between IPO firms and benchmark portfolios depends critically on the specific construction or the cumulative distribution function of the benchmark portfolios. The empirical results also potentially explain the extent of sample dependent results in the literature.     

基于投资组合理论的企业多项目投资管理研究

投资行为所具有的风险和收益密切相关的特点,使投资者必须努力寻求低风险和高收益的投资策略。而投资组合则能够为企业进行分散风险和扩张经营提供强有力的保证。本文使用现代投资组合理论,为企业的多项目投资组合建立优化模型,从定量的角度说明在企业多项目投资管理中运用投资组合的合理性和有效性。     

IPO and Aftermarket Performance of Single‐Listed Chinese ADRs

This paper analyzes the post‐IPO and long‐run aftermarket performances of single‐listed Chinese ADRs during the 2004–2010 period. Single‐listed ADRs are traded daily in major exchanges in the United States, but their underlying shares are not traded in the issuer's home market. Our results show that over the short‐run, buy‐and‐hold abnormal returns of single‐listed Chinese ADRs following their IPO are not significantly different from the typical post‐IPO performance of stocks in U.S. exchanges, including that of traditional dual‐listed Chinese ADRs. Nevertheless, over the longer horizon, the excess returns of a portfolio composed solely of single‐listed Chinese ADRs outperform a portfolio of dual‐listed Chinese ADRs, but underperform a benchmark portfolio composed of U.S. firms matched on the basis of their IPO date. We also find that the portfolio formed solely of single‐listed Chinese ADRs exhibits significantly distinct loadings on the common portfolio factors from the portfolio formed of dual‐listed Chinese ADRs and from the benchmark portfolio of U.S. stocks.     

我国证券投资基金资产组合管理合理性的实证研究

本文基于风险与收益相匹配的综合评价标准,对我国35支股票型开放式证券投资基金近五年来的组合管理能力进行了研究,并进而分析了基金组合管理合理性对于基金绩效的影响。研究结果进一步证明了我国证券投资基金合理性对于绩效存在显著影响,并据此提出相关的启示和建议。