The return and risk of the portfolio

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 the single-period asset portfolio theory, i.e., static portfolio theory, the author conducts an in-depth analysis and discussion of the theoretical foundation, assumptions, and model derivation of various models, as well as a comprehensive evaluation of them. The author believes that portfolio selection theory primarily studies the relationship between returns and risks of the optimal portfolio, essentially aiming at maximizing returns and minimizing risks; whereas 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 the optimal portfolio selection principle and other risk measurement indicators, the author explores 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 the multi-factor asset pricing model based on four factor variables.