金融決策問題的在線策略及其競爭分析
發(fā)布時間：2019-05-23 05:41
【摘要】：理論計算機學科興起的在線學習算法的特點是不對未來輸入序列作任何統(tǒng)計假設和僅根據(jù)已獲得信息進行決策，這為許多具有在線特點的金融決策問題的研究提供了新思路和方法。該文首先論述了設備資產(chǎn)租賃、單一風險資產(chǎn)投資和多種風險資產(chǎn)投資等金融決策問題的研究背景和意義；回顧了決策理論的起源與發(fā)展并論述了國內外研究現(xiàn)狀。在此基礎上，結合實際情況，應用傳統(tǒng)競爭比分析方法進一步研究了設備資產(chǎn)在線租賃策略和風險策略。探討了單一風險資產(chǎn)的在線投資策略，分別給出了基于風險厭惡型的保守策略和基于預期的風險策略。提出了基于線性學習函數(shù)的多種風險資產(chǎn)在線投資策略并分析了其競爭性能；將弱集成在線學習算法應用到多種風險資產(chǎn)在線投資，給出了具體在線決策策略。設備資產(chǎn)在線租賃、單一風險資產(chǎn)在線投資和多種風險資產(chǎn)在線投資的研究方法既有區(qū)別又有明顯的關聯(lián)。它們的輸入都具有在線性，都根據(jù)已獲得的歷史數(shù)據(jù)進行決策，都需要選擇一個標準來衡量所給在線策略的競爭性能。設備資產(chǎn)在線租賃是最簡單最基本的風險決策問題之一，可將它的研究方法推廣應用到單一風險資產(chǎn)在線投資和多種風險資產(chǎn)在線投資，，而單一風險資產(chǎn)在線投資又是多種風險資產(chǎn)在線投資的一種特例。具有創(chuàng)新性的研究成果主要包括以下幾個方面： 1.研究了受市場供求關系變化、自由市場靈活性和間隔使用設備等因素影響的在線租賃問題，建立了對應的在線租賃模型，用競爭分析方法得到了相應的在線租賃策略及其競爭性能分析。 設備的購買價格和租賃費用往往隨著需求量變動而發(fā)生改變；同時隨著科技的發(fā)展，設備的品牌層出不盡；并且市場利率會對階段性使用設備的在線策略產(chǎn)生影響�；诖�，本文研究了設備價格離散可變的在線租賃策略及其競爭性能，探討了多種設備獲得方式的可折舊設備租賃的在線隨機選擇策略，給出了受市場利率影響的兩階段在線租賃策略的競爭性能分析。 2.針對大型設備的可折舊性和二手市場的存在性，建立了可折舊設備在線租賃模型，得到了它的確定性策略、隨機性策略和基于預期的風險策略。 關于設備租賃問題的大多數(shù)研究都是建立在設備一旦購買便永久可以使用的基礎上，而并沒有對可折舊設備在線租賃問題的競爭策略進行系統(tǒng)的研究，本文在可折舊設備在線租賃模型建立的基礎上，首先給出了它的確定性策略和隨機性策略，進一步給出了它在確定性預期下的風險策略和在概率預期下的風險策略，最后并將確定性預期下的風險策略運用到了兩階段在線設備更新問題中。結果表明折舊的引入使得確定性策略和隨機性策略的競爭性能有所提高，市場利率的引入使得最優(yōu)確定性競爭比有所減少，卻使得最優(yōu)隨機性競爭比有所增大；風險策略的最優(yōu)約束競爭比減少幅度與風險容忍度成正比；結果也表明了概率預期下的風險策略擴展了確定性預期下的風險策略。 3.研究了風險資產(chǎn)收益率線性變動和對數(shù)變動情形下的單一風險資產(chǎn)投資問題，建立了階段性預期下單一風險資產(chǎn)在線投資的風險補償模型，分別得到了單一風險資產(chǎn)在線投資的保守策略和風險策略。 實際風險資產(chǎn)收益率波動的形式多樣，從風險厭惡角度本文分別給出了每期風險資產(chǎn)收益率變化服從線性波動和對數(shù)波動的保守投資策略。數(shù)值算例說明了基于風險厭惡型的單一風險資產(chǎn)在線投資策略更適合于波動平穩(wěn)的風險資產(chǎn)收益率序列。已有的風險策略是基于風險資產(chǎn)收益率變化點的預期，本文給出了階段性預期下單一風險資產(chǎn)投資的風險策略及其競爭性能分析，數(shù)值算例同時也表明了階段性預期下最優(yōu)約束競爭比的平均改善幅度與投資者的風險容忍度密切相關并且成正比。 4.研究了多種風險資產(chǎn)的在線投資問題，建立了基于線性學習函數(shù)的在線投資組合策略，得到了一類泛證券投資組合策略；并建立了基于弱集成學習算法的多種風險資產(chǎn)在線投資模型，得到了競爭性能較好的在線投資策略。 提出了基于線性學習函數(shù)的多種風險資產(chǎn)在線投資策略，其中線性函數(shù)的系數(shù)是一個與風險資產(chǎn)收益率有關的區(qū)間中點。用相對熵函數(shù)定義兩個投資組合向量之間的距離，證明了所給出的在線投資組合是泛證券投資組合。當線性系數(shù)取值于區(qū)間的任意一點時，得到了一類泛證券投資組合。探討了弱集成算法在多種風險資產(chǎn)在線投資組合選擇中的應用。首先將弱集成學習算法應用到投資于單個風險資產(chǎn)的專家策略，得到了多種風險資產(chǎn)在線投資策略WAAS�？紤]到泛證券投資組合策略是相對于最優(yōu)定常再調整策略而言的，進一步將弱集成算法應用到定常再調整策略，得到了多種風險資產(chǎn)在線投資策略WAAC。理論和數(shù)值算例都說明了WAAS策略的收益與表現(xiàn)最好的風險資產(chǎn)的收益相當；WAAC策略的收益與最優(yōu)定常再調整策略的收益相當。
[Abstract]:The feature of the online learning algorithm of the theory computer science is not to make any statistical assumptions on the future input sequence and to make decision only according to the obtained information, which provides a new thought and method for many research on the financial decision-making problem with on-line characteristics. This paper first discusses the research background and significance of the financial decision-making problems such as equipment asset lease, single-risk asset investment and multiple risk assets investment, and reviews the origin and development of the decision-making theory and discusses the domestic and foreign research status. On this basis, according to the actual situation, the online lease strategy and the risk strategy of the equipment assets are further studied by using the traditional competitive ratio analysis method. The online investment strategy of single-risk assets is discussed, and the conservative strategy based on risk aversion and the expected risk strategy are given. The online investment strategy of multiple risk assets based on linear learning function is put forward and its competitive performance is analyzed. The online learning algorithm of weak integration is applied to the on-line investment of multiple risk assets, and the specific online decision-making strategy is given. The research methods of on-line lease of equipment assets, on-line investment of single-risk assets and on-line investment of multiple risk assets have the distinct and obvious correlation. Their inputs are both linear and based on the historical data that have been obtained, and a criterion is required to measure the competitive performance of the on-line strategy. The on-line leasing of equipment assets is one of the most basic and most basic risk decision-making problems. It can be applied to on-line investment of single-risk assets and on-line investment of multiple risk assets, while on-line investment of single-risk assets is a special case of on-line investment of multiple risk assets. The innovative research results mainly include the following aspects: 1. The online lease problem, which is affected by market supply and demand relationship change, free market flexibility and space usage equipment, is studied, and the corresponding online lease is established In this paper, the competitive analysis method is used to obtain the corresponding online lease strategy and its competitive performance. Analysis. The purchase price and the lease cost of the equipment tend to change with the change of demand; with the development of science and technology, the brand of the equipment is inexhaustible; and the market interest rate will be an on-line policy of the stage-use equipment. On the basis of this, this paper studies the online lease strategy and its competitive performance of the discrete variable of the equipment price, and discusses the online random selection strategy of the depreciation equipment lease of various equipment acquisition modes, and gives the two-stage online lease strategy influenced by the market interest rate. 2. Based on the depreciation and the existence of the second-hand market of the large-scale equipment, the on-line lease model of the depreciable equipment is established, and its deterministic strategy, the random strategy and the base are obtained. Most of the studies on equipment rental problems are based on the permanent availability of the equipment once they are purchased, and there is no systematic study of the competitive strategy for the on-line leasing of the depreciable equipment, in which the depreciation equipment is On the basis of the establishment of the line lease model, the deterministic strategy and the stochastic strategy are given, and the risk strategy and the risk strategy under the expectation of certainty are further given. Finally, the risk strategy of the deterministic expectation is applied to the two. The results show that the introduction of depreciation causes the competitive performance of the deterministic strategy and the stochastic strategy to be improved, and the introduction of the market interest rate makes the optimal deterministic competition ratio decrease, but the most The superior and random competition ratio is increased; the optimal constraint competition ratio of the risk strategy is directly proportional to the risk tolerance; the result also shows that the risk strategy under the expectation of the probability is expanded 3. The risk compensation model of single-risk assets on-line investment in the case of linear fluctuation and log-change of risk assets is studied, and the risk compensation model of single-risk assets on-line investment is established, and the single-risk assets are obtained respectively. The conservative strategy and the risk strategy of on-line investment. A conservative investment strategy based on the linear fluctuation and the log fluctuation is given. The numerical example shows that the on-line investment strategy of a single-risk assets based on the risk-aversion type is more The existing risk strategy is based on the expectation of the change point of the rate of return of the risk assets, and the single risk is given in this paper. The risk strategy of the asset investment and its competitive performance analysis, the numerical example also shows the average improvement amplitude and the investment of the optimal constrained competition ratio at the same time. 4. The on-line investment problem of multiple risk assets is studied, and an online portfolio strategy based on linear learning function is established. On-line investment of multiple risk assets of weak integrated learning algorithm In this paper, the on-line investment strategy with good competitive performance is obtained. The online investment strategy of multiple risk assets based on the linear learning function is put forward, in which the linear learning function is linear. The coefficient of the function is the midpoint of the interval that is related to the rate of return of the risk assets. The distance between the two portfolio vectors is defined by the relative entropy function It is proved that the combination of on-line investment and on-line investment is a combination of pan-securities investment. When the linear coefficient is taken, At any point in the interval, a generic portfolio of portfolio investment has been obtained. The application of the integration algorithm in the selection of the on-line portfolio selection of multiple risk assets. Firstly, the weak integrated learning algorithm is applied to the individual risk assets. In this paper, a wide range of risk assets on-line investment strategy (WAAS) is obtained. Considering that the pan-securities investment portfolio strategy is relative to the optimal time-invariant re-adjustment strategy, the weak integration algorithm is further applied to the steady re-adjustment In this paper, a wide range of risk assets online investment strategies (WAAC) are obtained. The theoretical and numerical examples show that the benefit of the WAAS strategy is equivalent to that of the best risk assets; and W
【學位授予單位】：華南理工大學
【學位級別】：博士
【學位授予年份】：2012
【分類號】：F830;F224
本文編號：2483649
[Abstract]:The feature of the online learning algorithm of the theory computer science is not to make any statistical assumptions on the future input sequence and to make decision only according to the obtained information, which provides a new thought and method for many research on the financial decision-making problem with on-line characteristics. This paper first discusses the research background and significance of the financial decision-making problems such as equipment asset lease, single-risk asset investment and multiple risk assets investment, and reviews the origin and development of the decision-making theory and discusses the domestic and foreign research status. On this basis, according to the actual situation, the online lease strategy and the risk strategy of the equipment assets are further studied by using the traditional competitive ratio analysis method. The online investment strategy of single-risk assets is discussed, and the conservative strategy based on risk aversion and the expected risk strategy are given. The online investment strategy of multiple risk assets based on linear learning function is put forward and its competitive performance is analyzed. The online learning algorithm of weak integration is applied to the on-line investment of multiple risk assets, and the specific online decision-making strategy is given. The research methods of on-line lease of equipment assets, on-line investment of single-risk assets and on-line investment of multiple risk assets have the distinct and obvious correlation. Their inputs are both linear and based on the historical data that have been obtained, and a criterion is required to measure the competitive performance of the on-line strategy. The on-line leasing of equipment assets is one of the most basic and most basic risk decision-making problems. It can be applied to on-line investment of single-risk assets and on-line investment of multiple risk assets, while on-line investment of single-risk assets is a special case of on-line investment of multiple risk assets. The innovative research results mainly include the following aspects: 1. The online lease problem, which is affected by market supply and demand relationship change, free market flexibility and space usage equipment, is studied, and the corresponding online lease is established In this paper, the competitive analysis method is used to obtain the corresponding online lease strategy and its competitive performance. Analysis. The purchase price and the lease cost of the equipment tend to change with the change of demand; with the development of science and technology, the brand of the equipment is inexhaustible; and the market interest rate will be an on-line policy of the stage-use equipment. On the basis of this, this paper studies the online lease strategy and its competitive performance of the discrete variable of the equipment price, and discusses the online random selection strategy of the depreciation equipment lease of various equipment acquisition modes, and gives the two-stage online lease strategy influenced by the market interest rate. 2. Based on the depreciation and the existence of the second-hand market of the large-scale equipment, the on-line lease model of the depreciable equipment is established, and its deterministic strategy, the random strategy and the base are obtained. Most of the studies on equipment rental problems are based on the permanent availability of the equipment once they are purchased, and there is no systematic study of the competitive strategy for the on-line leasing of the depreciable equipment, in which the depreciation equipment is On the basis of the establishment of the line lease model, the deterministic strategy and the stochastic strategy are given, and the risk strategy and the risk strategy under the expectation of certainty are further given. Finally, the risk strategy of the deterministic expectation is applied to the two. The results show that the introduction of depreciation causes the competitive performance of the deterministic strategy and the stochastic strategy to be improved, and the introduction of the market interest rate makes the optimal deterministic competition ratio decrease, but the most The superior and random competition ratio is increased; the optimal constraint competition ratio of the risk strategy is directly proportional to the risk tolerance; the result also shows that the risk strategy under the expectation of the probability is expanded 3. The risk compensation model of single-risk assets on-line investment in the case of linear fluctuation and log-change of risk assets is studied, and the risk compensation model of single-risk assets on-line investment is established, and the single-risk assets are obtained respectively. The conservative strategy and the risk strategy of on-line investment. A conservative investment strategy based on the linear fluctuation and the log fluctuation is given. The numerical example shows that the on-line investment strategy of a single-risk assets based on the risk-aversion type is more The existing risk strategy is based on the expectation of the change point of the rate of return of the risk assets, and the single risk is given in this paper. The risk strategy of the asset investment and its competitive performance analysis, the numerical example also shows the average improvement amplitude and the investment of the optimal constrained competition ratio at the same time. 4. The on-line investment problem of multiple risk assets is studied, and an online portfolio strategy based on linear learning function is established. On-line investment of multiple risk assets of weak integrated learning algorithm In this paper, the on-line investment strategy with good competitive performance is obtained. The online investment strategy of multiple risk assets based on the linear learning function is put forward, in which the linear learning function is linear. The coefficient of the function is the midpoint of the interval that is related to the rate of return of the risk assets. The distance between the two portfolio vectors is defined by the relative entropy function It is proved that the combination of on-line investment and on-line investment is a combination of pan-securities investment. When the linear coefficient is taken, At any point in the interval, a generic portfolio of portfolio investment has been obtained. The application of the integration algorithm in the selection of the on-line portfolio selection of multiple risk assets. Firstly, the weak integrated learning algorithm is applied to the individual risk assets. In this paper, a wide range of risk assets on-line investment strategy (WAAS) is obtained. Considering that the pan-securities investment portfolio strategy is relative to the optimal time-invariant re-adjustment strategy, the weak integration algorithm is further applied to the steady re-adjustment In this paper, a wide range of risk assets online investment strategies (WAAC) are obtained. The theoretical and numerical examples show that the benefit of the WAAS strategy is equivalent to that of the best risk assets; and W
【學位授予單位】：華南理工大學
【學位級別】：博士
【學位授予年份】：2012
【分類號】：F830;F224
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