馬柯維茲資產(chǎn)組合理論對(duì)中國(guó)基金市場(chǎng)的實(shí)證分析.pdf

1、復(fù)旦大學(xué)碩士學(xué)位論文馬柯維茲資產(chǎn)組合理論對(duì)中國(guó)基金市場(chǎng)的實(shí)證分析姓名：馮義濤申請(qǐng)學(xué)位級(jí)別：碩士專業(yè)：政治經(jīng)濟(jì)學(xué)指導(dǎo)教師：周偉林2001.5.10AbstractIlarry，MMal‘kowitzCapitalAssetPortfolioTheorysetthefoundationoftheCAPManditisalsothebeginningoflnoderncapitalassetportfoliotheoriesBasedonth

2、eMarkowitztheorymanyportfoliotheoriestrytosetupsomepracticalmodelstoanalyzethecapitalmarketThecommonpointsofthesetheoriesarewithintheflmdamentalhypothesisofMarkowitztheoryusingM—Vruleastheperfectandcompleteevaluationstan

3、dardofthecapitalassetsInordertoachievepracticalprinciplestoconstructourownportfolio，thesetheoriessimplifiedsomeassumptionsofMarkowitztheoryandusethepresentativecharacteristicsofstatisticsinsteadoftherigorousderivationofM

4、arkowitztheoryButbecauseoftheexistenceofthepremium／discountrateoftheclosed—endfunds，MVstandardisnotcompleteandperfectanylongerInthispaper，averyinterestingconclusionwillbegivenifwetakeaccountofthepremium／discountratesofth

5、eclosed—endfundsThestructureofthisarticle：thefirstchaptermakeasimplereviewofthedevelopmentofmoderncapitalassetportfoliotheories，suchasMarkowitztheoryCAPM，SharpeSingleIndexModelandArbitragePricingTheoryThesecondchapteruse

6、MV—DasthenewevaluationstandardtoanalyzethepurefundsportfolioTheIastchapterusethemodelderivedfromthesecondchaptertomakeapositiveanalysisoftenrepresentationalclosed—endfundsinChinaStockMarketTheinnovafions：1Providingalogic

7、alevolutionrelationshipfromtheCAPMtoSharpeSingleIndexModd2ThisarticlegivesarigorousprovethattheoriginalhyperbolicboundaryofportfoliolineintheO一ERplanewillevolveintodoublecurvedsurfaceinthe盯一ER—Dspace3Takingaccountofthedi