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1、ABSTRACTABSTRACTSinceMarkowitzproposedtheclassicmean-varianceportfoliotheoryin1952,portfoliotheoryhaveemergedanumberofimportantresearchresults,suchasthenewriskmeasurementmethods,thecorrectedmean-variancemodelaftereasingthehypothesisandsoon.Thisarticleisba
2、sedontheMarkowitzmean-variancemodel,andaddstheBetaconstrainttothatmodel,ourarticleisaimedatinvestigatingthepropertiesoftheoptimalportfolioandthevarietiesoftheefficientfrontier,inaddition,wealsotakeanempiricaltestfortheoptimalportfolioperformancewithBetaco
3、nstraint.Thisstudyandpreviousstudies’biggestdifferenceisthatpreviousstudieseitherconsideredonlythetotalriskoftheportfolio(revenue’svariance)oronlythesystematicriskportfolio(revenue’sBetacoefficient),butthispaperputsBothproperlytogetherandcombinestoformamo
4、delwhichhasasmallesttotalriskwithagivensystemicrisk.Afterreviewingandsummarizingthepastresultsofportfoliotheory,thepaperproposestheoptimalmean-variancemodelwithBetaconstraint.Thenweanalyzeandtestthemodelfromtheperspectiveofboththeoreticalandempiricalsepar
5、ately,thetheoreticalpartinvestigatesthepropertiesoftheoptimalportfolioandthevarietiesoftheefficientfrontierandtheempiricalparttesttheperformanceofoptimalportfolio.Inthetheoreticalanalysis,basedontheanalysisoftheoptimalresultswithaBetaconstrainedmodel,weco
6、metofourpropertiesoftheoptimalportfolio:(1)theoptimalportfoliosatisfiesthethree-fundseparationtheorem;(2)theoptimalportfolio’sconstructionprocesstakesthreesteps;(3)Betaconstraintcanhedgetheportfolio’ssystematicrisk;(4)TheoptimalportfoliowithBetaconstraint
7、isnon-efficient.Thispaperalsousesanumericalexampletoexaminethechangesofefficientfrontierwithbetaconstraint,wefound:EfficientFrontierisalwayslocatedtotherightofMarkowitz’s,andthatledtoanon-efficientportfolio,andthesizeoftheno-efficiencyisalsoinextricablyli
8、nkedwiththeBeta.Intheempiricalanalysis,thispapertakestwostagesofbullandbearmarketstoexaminetheoptimalportfolioperformancewithbetaconstraint.Theempiricalresultsshowthat:theexpectedreturninabullmarketwithbetaconstrain
