投资组合与方差分析汇总.doc

Portfolio optimization models and mean-variance spanning tests Wei-Peng Chen* Department of Finance, Hsih-Shin University, Taiwan c8145666@ms18.hinet.net Huimin Chung Graduate Institute of Finance, National Chiao Tung University, Taiwan Keng-Yu Ho Department of Finance, National Central University, Taiwan kengyuho@cc.ncu.edu.tw Tsui-Ling Hsu Graduate Institute of Finance, National Chiao Tung University, Taiwan tracy.shu@msa.hinet.net Prepared for Handbook of Quantitative Finance and Risk Management In this chapter we introduce the theory and the application of computer program of modern portfolio theory. The notion of diversification is age-old “dont put your eggs in one basket”, obviously predates economic theory. However a formal model showing how to make the most of the power of diversification was not devised until 1952, a feat for which Harry Markowitz eventually won Nobel Prize in economics. Markowitz portfolio shows that as you add assets to an investment portfolio the total risk of that portfolio - as measured by the variance (or standard deviation) of total return - declines continuously, but the expected return of the portfolio is a weighted average of the expected returns of the individual assets. In other words, by investing in portfolios rather than in individual assets, investors could lower the total risk of investing without sacrificing return. In the second part we introduce the mean-variance spanning test which follows directly from the portfolio optimization problem. INTRODUCTION OF MARKOWITZ PORTFOLIO-SELECTION MODEL Harry Markowitz (1952, 1959) developed his portfolio-selection technique, which came to be called modern portfolio theory (MPT). Prior to Markowitzs work, security-selection models focused primarily on the returns generated by investment opportunities. Standard investment advice was to identify those securities that offered the best opportunities for gain with the least risk and then construct a portfolio from