Portfolio Returns and Risks: Theoretical Analysis and Empirical Research

Author: Li Bo
Publisher:
Publish Date: 2006-08-01
Features: In the theoretical analysis section, the author comprehensively reviews and summarizes the research achievements of portfolio theory. Based on a systematic analysis of single-period portfolio theory, which is static portfolio theory, the author conducts an in-depth analysis and discussion of the theoretical foundations, assumptions, and model derivations of various models, and provides a comprehensive evaluation of them. The author believes that portfolio selection theory primarily studies the relationship between return and risk of optimal portfolios, essentially aiming at maximizing returns and minimizing risks. On the other hand, asset pricing theory mainly examines the relationship between the returns of assets or portfolios and various influencing factors when the capital market is in equilibrium. On one hand, the author discusses Markowitz's mean-variance portfolio selection model, single-index portfolio selection model, and simplified model of optimal portfolio selection. Additionally, based on optimal portfolio selection principles and other risk measurement indicators, the author discusses portfolio selection models such as mean-absolute deviation, mean-half variance, and mean-risk-adjusted value. On the other hand, the author discusses asset pricing models, including multi-factor asset pricing models and arbitrage pricing models, particularly exploring multi-factor asset pricing models based on four factor variables.