证券投资基金投资组合研究毕业论文

中国证券投资基金投资组合研究

摘要

从1868年基金最早在英国出现以来，它的发展已经经历了1个多世纪。我国从1998年3月基金金泰、基金开元成立以来，基金业在各种有利于基金政策的支持下发展迅速，研究基金的投资组合优化问题具有重要的意义。

本文系统介绍了投资组合优化问题的理论内容，包括投资组合管理的内容，现代投资组合理论以及考虑行为因素后的投资组合优化问题，并将这些理论运用我国的实践，以易方达策略成长为例进行实证分析。

本文共分五个部分：

第一章：绪论

第二章：现代投资组合理论。主要介绍了马克维兹的投资组合理论、夏普的资本

资产定价模型、单指数模型和多指数模型以及对我国基金应用现代投资组合理论的建议。

第三章：投资组合的管理。对基金建立投资组合的每一步进行了详细的介绍，从设定投资目标、选择投资策略，到资产配置、资产选择、资产权重的调整。

第四章：行为金融学下的投资组合。这一章首先介绍标准金融学的缺陷，然后介绍行为资产定价理论和行为资产组合理论，最后是考虑行为金融因素后对投资者的建议。

第五章：中国基金投资组合实证研究。将投资组合理论与中国实践相结合，研究了投资组合理论在我国应用的适用性和局限性。在适用性研究中，以易方达策略成长2004年第二季度投资组合为例，研究探讨在当前市场环境下中国基金的投资策略、资产配置、行业配置等问题。

关键词：投资组合基金投资组合管理

Abstract

Fund has developed for more than a century since its originated from England in 1868,with the emerging of mutual fund of kaiyuan fund and jintai fund in March 1998.Our fund market has developed fast with the sustaining policies for funds.To study the portfolio optimization of fund has important meaning.

This article systematically introduce the portfolio management,modern portfolio theory and the optimization of portfolio considering behavioural factors.Finnally employ above theory into our fund market ,making empirical analysis as efunds strategy growth open-end fund..

This paper includes five parts:

The first part:Introduction

The second part introduce the modern portfolio theory.First,we introduce Markowitz portfolio theory,the capital asset pricing model,single factor model and multi-factors model.Second,we introduce the extensions of modern portfolio theory and give some suggestions of using modern portfolio theory for our fund.

The third part introduce the portfolio management .First,we introduce simply the basic knowledge of fund . Second,we introduce the porfolio management concretely from setting up investment target,the style of portfolio management selection to asset allocation,security selection, the weight of securities adjustment.

The fourth part :behavioral portfolio management.Firstly,we introduce the drawbacks of standard finance.Secondly,we introduce the behavioral asset pricing model and behavioral portfolio theory.Finally we give some suggestions considering behavioral factors for investors.

The fifth part :the empirical analysis of Chinese fund portfolio.To study the applicability and limits of the portfolio theory.In the part of applicability,we take the second quarter porfolio of efunds strategy growth open-end fund as the example,combine the content of the previous chapters with china practice,to study the style of portfilo management selection,asset allocation,industry allocation and so on,try to provide some idea about portfolio optimiztion of china fund.

Key words: portfolio fund portfolio management