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论文编号：	2754
作者编号：	2120082468
上传时间：	2010/11/29 10:25:18
中文题目：	融券机制下投资组合有效边界实证研究
英文题目：	Short Sell Mechanism Demonstration Analysis Of Portfolio Efficient Frontier
指导老师：	齐岳
中文关键字：	融券机制 投资组合 有效边界 实证研究
英文关键字：	Short sell mechanism Portfolio Efficient frontier Demonstration analysis
中文摘要：	我国证券市场正处于飞速发展阶段，市场规模迅速增长，规范化建设取得重大进展。2010年3月31日，融券交易制度正式启航，结束了只能单边做多的市场交易机制。融券交易机制是优化金融市场资源配置的重要手段和途径，标志着我国证券市场逐步成熟。 本文在前人研究的基础上，引用我国证券市场数据，运用Markowitz的均值一方差模型和Sharpe的单指数模型，以投资组合有效边界作为评价标准，对投资组合中是否采用融券机制的风险收益情况进行比较和检验，并得出采用融券机制下投资组合有效集更优的结论。本文在我国现有的定性分析的理论基础上，创新的进行了定量分析，并为证券投资组合的管理者展现了应用价值提供了管理依据 本文共分为五个章节：在第一章介绍了论文的撰写背景和选题意义，概括论述了本文的主要研究思路和框架。第二章介绍了我国资本市场的重要发展阶段及重大历史事件，就下文将应用到的投资组合管理中Markowitz模型和单指数模型理论进行了回顾呈现，并对融券交易问题、卖空限制问题、投资组合有效边界特征及应用等问题对国内外的研究成果进行了简要介绍。第三章介绍了我国、美国、日本和台湾地区融券交易市场的特征，并对上述四个国家和地区各自的融券机制进行了比较。第四章是本文的核心内容。从定量分析的角度，采用资产配置的实证研究方法，运用Markowitz模型和单指数模型对样本进行重新配置形成理论组合，通过比较理论组合的有效边界，来验证融券机制下，投资组合风险-收益有效集的优劣。首先介绍了样本的确定和数据的选取方法，然后介绍实证研究的方法，再对分析步骤举例说明，最后将研究结果的数据和有效边界图列出，通过比较得出结果。第五章对文本的研究分析做出结论。
英文摘要：	China's securities market is in a stage of rapid development. Market size and rapid growth have made significant progress in building a standardized. Short sell mechanism promulgated, so theconditions are basically mature market,the system of financing securities lendingoperations entered a substantive stage. This article is based on previous research, refer the data of Chinese stock market, apply the Markowitz Mean-variance model , Sharpe Single-factor model and security portfolio efficient frontier as the evaluation standard, compare and inspect the risk-return in security portfolio with different condition whether use the mechanism of securities lending, and got the conclusion that effective set of security portfolio with mechanism of security lending is more optimized. This article innovative perform the quantitative analysis on the base of current theory infrastructure with qualitative analysis, and provide the applicable rationale of decision making for investor. There is 5 chapters in this article: The chapter 1 introduces the background and the meaning of choice this topic, summary and discuss the mainly thinking of research and the framework. The chapter 2 introduces the important stage of development and historical events of Chinese capital market, review and show the Markowitz Mean-variance model and the Sharpe Single-factor model in management of security portfolio applied in this article, and briefly introduce the internal and external research result of the problems such as security lending trading, short-selling constraints , character and applying of efficient frontier of security portfolio. The chapter 3 introduces the features of security lending trading markets in China, the USA, Japan and the taiwan district, and compare the security lending mechanism in above 4 nations/districts. The chapter 4 is the core of this article. From the degree of quantitative analysis, using the demonstration research methods with asset configuration, applying the Markowitz Mean-variance model and the Sharpe Single-factor model to re-configure the sample to form the theoretical combination, and then comparing the efficient frontier of the theoretical combination to verify the merits of the effective set of risk-return of security portfolio with security lending mechanism. Firstly introduce the method of sample determining and data choosing, introduce the demonstration research methods, and then give the example and explain for the analysis steps, finally list the data of researching result and the chart of efficient frontier and draw the conclusion by comparing the result data. The chapter 5, draw the conclusion of the analysis and research of this article.
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