Several Procedures for Determining Optimal Portfolio Based on CAPM with Comparision

In this paper, we give several procedures for determining optimal portfolio based on conditional CAPM. We give two market models in two cases: the β in Conditional CAPM is constant; the β in Conditional CAPM is not constant, For each model we give the methods for estimating parameters. At last, we select several stocks and make optimal portfolio based on this two models. We analyse tile result by comparing with that of CAPM, which shows that our two market models are better than signal factor market model.