Study Based On The Conditions The Rate Of Return Of Portfolio Theory

Current investment theories is a kind of academic frame which developed on the base of a historic paper named 《Selection of securities combination 》 that was published by Harry·M·Markowitz in 1952 and a homonymic monograph released in 1959.According to the theories of securities' investment portfolio, the yield of security and its statistic distribution characters are the most elementary researching foundation. Presently, the common situation is to assume the statistic distribution characters of the yield of a security are stable during a period, then begin the research of the theories of securities' investment portfolio on the base of it. However, the actual conditions in the market incompletely support this hypothesis. So, we turn to research the statistic distribution traits of the yield under different market conditions. To develop the investigation on securities' investment combination according to the distribution characters of conditional yield will make its actual application closer to the market facts.The paper first briefly introduces the birth and development of the theories of securities' investment portfolio, excessively illuminates two critical conceptions: return and risk. Then, we import the conception of conditional yield, and on base of it, put forward the conceptions of VaA(expected conditional yield), VaB(prime conditional yield) and VaR (conditional VaR),finally establish a kind of new measure model for securities' yields and risks.Secondly, we import the conception of relative price, build the system of VaR, in the system, the market index- VaR_I, , VaA—I, VaB_I are systematic factors. If import stock index futures, we can counteract its risks by adjusting its long positions and short positions. The emphases of the paper are parts of relative price- VaR—S, VaA_S , VaB_S, and we take they as the controllable factors(individual factors of stock itself). The motive to establish such a system is to offer a kind of new idea, that is, to turn the traditional measure for returns and risks of stock to relative price and conditional yield.Finally, respectively under the conditions that the stock's price and return obey the binary normal distribution and empirical distribution, on the base of portfolio theories frame of Markowitz, we apply history datum to construct the investment portfolio, that is VaA, VaB—VaR model. And we compare the yield of combination with the yield ofmarket index, adjust the investment portfolio under different price conditions, then build the effective portfolio boundary and compare it with the portfolio boundary of Markowitz. Practical analyses indicate that our model is effective, and this will offer a new investment idea for wide investors.