Dissertation > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods

Study selection of securities diversified

Author WangJinCai
Tutor XuWei
School Northwestern Polytechnical University
Course Applied Mathematics
Keywords Portfolio Multi-factor model Valid subset Risk Factors Criterion individually
CLC F224
Type Master's thesis
Year 2004
Downloads 117
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From the early 1950s Markowitz portfolio theory proposed start finance into the quantitative analysis phase, which can be seen as the beginning of financial mathematics. Later, after Sharp, Miller, Morton, Hughes, Braque and others in financial mathematics of hard work, it has developed into a content-rich, profound theory, application wide range of disciplines. Now, but there is a large number of theorists and practitioners engaged in financial mathematics theoretical innovation and practical test. Development and improvement of financial mathematics of great significance. This paper focuses on the diversification of investments in securities issues carried out further exploration and research, including two aspects: the portfolio selection and portfolio selection valid subset. That is, given the centralized securities to choose which securities investment securities as well as the proportion of each type of problem, they are two interrelated issues. Main innovation of this paper lies in two aspects: the portfolio selection problem, we propose a new multi-factor model for portfolio investment decisions, and studied the method for solving the model and nature. This model is in Mayon open and Tang I use Markowitz mean - variance model and Ross arbitrage pricing theory derived multifactor portfolio investment decisions based on the model given. It is compared to the Markowitz mean - variance model's advantages are: 1, calculate the optimal portfolio of computation; 2, investment control, and it can not only control the expected rate of return, but also can control factors at risk. It is compared to the Mayon open and Tang My Portfolio multifactor decision model's advantages are: it not only takes into account the size of the risk factors, and taking into account the size of the expected rate of return, we give a broader nature and conclusions, comprehensive and profound. Portfolio Selection in a valid subset of issues, the first gives a valid subset of the portfolio selection search method - one by one discriminant method and empirical research done: followed by the multi-factor portfolio selection subset of the effective research. These two issues with the history of the tree and portfolio selection proposed Yang Jie valid subset of closely related, no one has yet studied. The first question of how the securities from a given concentration of historical price data through the past, one by one screening, find the last to invest in securities. The second problem results of the study are: it can reduce solving select a valid subset of the portfolio amount of computation, and gives why the \

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