Overall level of export fluctuations of the export-oriented countries with rising export volume partly stem from the market failure caused by free choice of export enterprises,some government intervention thus may be ...Overall level of export fluctuations of the export-oriented countries with rising export volume partly stem from the market failure caused by free choice of export enterprises,some government intervention thus may be necessary.To reduce the level of fluctuations of the export growth rates in these countries,this paper,taking the significant differences of the exports among various markets into account and thus using a new index named relative variance to measure the export volatility risks,proposes a model of merchandise market portfolio,a modified version of Markowitz model,available to provide explicit guidelines for the firms,the industries and even the whole country to optimize the structure of their export markets.An application of this model to the case of China’s apple is then discussed.The results show that the market share of China’s apple in 7 sub-markets should be redistributed drastically.展开更多
The paper analyzes the theory and application of Markowitz Mean-Variance Model and CAPM model. Firstly, it explains the development process and standpoints of two models and deduces the whole process in detail. Then 3...The paper analyzes the theory and application of Markowitz Mean-Variance Model and CAPM model. Firstly, it explains the development process and standpoints of two models and deduces the whole process in detail. Then 30 stocks are choosen from Shangzheng 50 stocks and are testified whether the prices of Shanghai stocks conform to the two models. With the technique of time series and panel data analysis, the research on the stock risk and effective portfolio by ORIGIN and MATLAB software is conducted. The result shows that Shanghai stock market conforms to Markowitz Mean-Variance Model to a certain extent and can give investors reliable suggestion to gain higher return, but there is no positive relation between system risk and profit ratio and CAPM doesn＇t function well in China＇s security market.展开更多
基金the project(2018GWQNCX038)for innovative talents in regular universities of the Department of education of Guangdong Province in 2019.
文摘Overall level of export fluctuations of the export-oriented countries with rising export volume partly stem from the market failure caused by free choice of export enterprises,some government intervention thus may be necessary.To reduce the level of fluctuations of the export growth rates in these countries,this paper,taking the significant differences of the exports among various markets into account and thus using a new index named relative variance to measure the export volatility risks,proposes a model of merchandise market portfolio,a modified version of Markowitz model,available to provide explicit guidelines for the firms,the industries and even the whole country to optimize the structure of their export markets.An application of this model to the case of China’s apple is then discussed.The results show that the market share of China’s apple in 7 sub-markets should be redistributed drastically.
基金Supported by Zhejiang Provincial Natural Science Foundation (Y604137)Student Research Training Program in Zhejiang University
文摘The paper analyzes the theory and application of Markowitz Mean-Variance Model and CAPM model. Firstly, it explains the development process and standpoints of two models and deduces the whole process in detail. Then 30 stocks are choosen from Shangzheng 50 stocks and are testified whether the prices of Shanghai stocks conform to the two models. With the technique of time series and panel data analysis, the research on the stock risk and effective portfolio by ORIGIN and MATLAB software is conducted. The result shows that Shanghai stock market conforms to Markowitz Mean-Variance Model to a certain extent and can give investors reliable suggestion to gain higher return, but there is no positive relation between system risk and profit ratio and CAPM doesn＇t function well in China＇s security market.
