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  本文選題：模糊投資組合 + 背景風(fēng)險(xiǎn)�。� 參考：《中南大學(xué)》2014年碩士論文

【摘要】：摘要：最優(yōu)投資組合問(wèn)題一直都是金融領(lǐng)域研究的核心問(wèn)題之一。由于現(xiàn)實(shí)的證券市場(chǎng)中存在許多不確定因素,模糊環(huán)境下的投資組合問(wèn)題的研究顯得更有意義。在傳統(tǒng)模糊投資組合問(wèn)題中風(fēng)險(xiǎn)分析只考慮了投資組合產(chǎn)生的風(fēng)險(xiǎn),忽視了投資組合之外產(chǎn)生的背景風(fēng)險(xiǎn)。考慮到背景風(fēng)險(xiǎn)的存在對(duì)投資者的決策行為具有較大的影響,本文將背景風(fēng)險(xiǎn)因素引入到模糊投資組合中。 首先,本文在模糊環(huán)境下將證券收益看作模糊變量,同時(shí)考慮背景風(fēng)險(xiǎn)因素,建立最優(yōu)投資組合選擇模型。選取部分股票進(jìn)行實(shí)證分析,給出考慮背景風(fēng)險(xiǎn)因素的模糊投資組合的有效前沿,并與不考慮背景風(fēng)險(xiǎn)因素的模糊投資組合的有效前沿進(jìn)行了對(duì)比分析�？紤]背景風(fēng)險(xiǎn)因素能更好反映現(xiàn)實(shí)經(jīng)濟(jì)環(huán)境中的投資風(fēng)險(xiǎn),使投資者能夠選擇更適合自己的投資組合。 另外,由于正態(tài)模糊數(shù)的隸屬函數(shù)中變量取值范圍是從負(fù)無(wú)窮到正無(wú)窮,但實(shí)際上風(fēng)險(xiǎn)資產(chǎn)的收益肯定是在有限區(qū)間內(nèi)的。因此我們簡(jiǎn)單地用正態(tài)模糊數(shù)表示風(fēng)險(xiǎn)資產(chǎn)的收益不太恰當(dāng)。為了更好地描述風(fēng)險(xiǎn)資產(chǎn)的收益,本文構(gòu)造了一個(gè)對(duì)稱三角模糊數(shù),該三角模糊數(shù)既保留了正態(tài)模糊數(shù)的均值、方差的信息,又具有三角模糊數(shù)的性質(zhì),從而更好地反映了風(fēng)險(xiǎn)資產(chǎn)模糊收益的分布。將新形式的隸屬函數(shù)引入到模糊投資組合模型中,求解出包含更多信息的最優(yōu)投資組合。圖6幅,表6個(gè),參考文獻(xiàn)70篇
[Abstract]:Absrtact: the optimal portfolio problem has always been one of the core problems in the field of finance.Because there are many uncertain factors in the real securities market, it is more meaningful to study the portfolio problem in the fuzzy environment.In the traditional fuzzy portfolio problem, the risk analysis only considers the risk caused by the portfolio, but ignores the background risk generated outside the portfolio.Considering that the existence of background risk has a great influence on investors' decision-making behavior, this paper introduces the background risk factor into the fuzzy portfolio.Firstly, in this paper, the security return is regarded as a fuzzy variable in fuzzy environment, and the optimal portfolio selection model is established by considering the background risk factors at the same time.Some stocks are selected for empirical analysis, and the effective frontier of fuzzy portfolio considering background risk factors is given, and compared with that of fuzzy portfolio without background risk factors.Considering the background risk factors can better reflect the investment risk in the real economic environment, so that investors can choose a more suitable investment portfolio.In addition, because the value range of variable in membership function of normal fuzzy number is from negative infinity to positive infinity, in fact, the return of risk asset must be in the finite range.Therefore, it is not appropriate for us to simply use normal fuzzy numbers to represent the return of risky assets.In order to better describe the return of risky assets, a symmetric triangular fuzzy number is constructed in this paper. The triangular fuzzy number not only retains the information of the mean value and variance of the normal fuzzy number, but also has the property of the triangular fuzzy number.Thus better reflects the risk assets fuzzy income distribution.A new form of membership function is introduced into the fuzzy portfolio model to solve the optimal portfolio with more information.6 figures, 6 tables, 70 references
【學(xué)位授予單位】：中南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F224;F830.59

【共引文獻(xiàn)】

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本文編號(hào)：1739331