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首页> 外文期刊>Universal Journal of Accounting and Finance >Dead or Alive Modern Portfolio Theory Based on Financial Analysis
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Dead or Alive Modern Portfolio Theory Based on Financial Analysis

机译：基于财务分析的死亡或活着的现代组合理论

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Currently, there are a lot of criticisms on Modern Portfolio Theory (MPT). Black Swan argument claims that in the event of a financial turmoil, the stock prices move beyond what is expected by normal distribution. This study empirically investigates whether it is possible to apply MPT by using additional criteria. The criteria used in this research are related to financial analysis, a well-known field in corporate finance. The ratios used are debt-to-equity and return on equity. According to the analysis, Modern portfolio theory can be applied by the use of these additional criteria. The analysis with debt-to-equity criterion reveals that Portfolios 3 and 5 which have lower debt-to-equity ratios performed better in the period. The analysis with return on equity reveals that only Portfolio 8 which has 9 companies with ratios larger than 0.2 has positive return whereas the other portfolios have negative returns. The results further show that, while applying MPT with these criteria is perfectly possible and sound, the investor could diversify further by selecting portfolios with higher number of securities and still have better financial ratios. This research to the authors' knowledge brings a novelty by proposing these selection criteria in MPT. The suggested method could be applied by practitioners in this field. This study also targets to bring a new direction to the ongoing debate whether the theory of Markowitz (commonly known as father of Modern Portfolio Theory) is dead or alive.
机译：目前，对现代投资组合理论（MPT）有很多批评。黑色天文论证声称，在金融动荡的情况下，股票价格超出了正常分布的预期。本研究经验研究了是否有可能使用额外标准应用MPT。本研究中使用的标准与财务分析有关，是企业融资的着名领域。使用的比率是债务权益和股权返回。根据分析，现代产品组合理论可以通过使用这些附加标准来应用。债务对股权标准的分析揭示了在该期间更好地表现出较低的债务对股票比率的投资组合3和5。股权返回的分析表明，只有具有大于0.2的比率的9家公司的投资组合8只有正回报，而其他投资组合具有负回报。结果进一步表明，在使用这些标准的情况下对MPT施加MPT是完全可能的，并且投资者可以通过选择具有更高数量的证券并仍有更好的金融比率来进一步多元化。这项对作者知识的研究通过提出MPT中的这些选择标准来带来一种新颖性。建议的方法可以通过该领域的从业者应用。本研究还针对持续辩论的新方向，无论是Markowitz（俗称作为现代产品组合理论的父亲）的理论是否已经死亡或活着。

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