本文關(guān)鍵詞：考慮背景風(fēng)險(xiǎn)因素的可能性投資組合選擇模型研究　出處：《華南理工大學(xué)》2013年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 背景風(fēng)險(xiǎn) 投資組合 可能性理論 風(fēng)險(xiǎn)價(jià)值 匯率風(fēng)險(xiǎn)

【摘要】：投資決策的核心問題是如何在眾多金融產(chǎn)品中選擇最優(yōu)的組合進(jìn)行投資。經(jīng)典的投資組合模型根據(jù)投資者的風(fēng)險(xiǎn)厭惡程度將財(cái)富按一定比例在風(fēng)險(xiǎn)資產(chǎn)之間進(jìn)行分配，以達(dá)到分散風(fēng)險(xiǎn)，確保收益的目的。經(jīng)典的投資組合模型認(rèn)為投資者在投資中只承受金融風(fēng)險(xiǎn)，而在實(shí)際的投資環(huán)境中投資者還要應(yīng)對風(fēng)險(xiǎn)性非金融風(fēng)險(xiǎn)的影響。比如說，勞動(dòng)收入、健康狀況、持有房產(chǎn)等因素導(dǎo)致的風(fēng)險(xiǎn)（背景風(fēng)險(xiǎn)）。這些背景風(fēng)險(xiǎn)在金融市場上不能通過資產(chǎn)組合配置來分散，而它們的存在很大程度影響了投資者在金融市場中的投資行為，，進(jìn)而使得投資組合問題復(fù)雜化。迄今為止，已有一些學(xué)者對考慮背景風(fēng)險(xiǎn)的投資組合問題進(jìn)行了研究。而這些研究主要建立在隨機(jī)理論基礎(chǔ)之上，他們將資產(chǎn)組合的未來收益看成隨機(jī)變量。 然而現(xiàn)實(shí)的金融市場中存在許多非隨機(jī)因素的影響，尤其在一個(gè)模糊的投資環(huán)境中，風(fēng)險(xiǎn)資產(chǎn)的收益表示為模糊數(shù)。因此考慮模糊不確定性的投資組合選擇問題也是學(xué)術(shù)界研究的重要領(lǐng)域之一。 本文結(jié)合以上兩點(diǎn)，依據(jù)可能性理論對考慮背景風(fēng)險(xiǎn)因素的可能性投資組合選擇問題進(jìn)行了系統(tǒng)的分析和研究，建立了不同環(huán)境下考慮背景風(fēng)險(xiǎn)因素的可能性投資組合選擇模型。并對考慮背景風(fēng)險(xiǎn)因素的投資組合及其可能性有效前沿進(jìn)行深入剖析，加深人們對背景風(fēng)險(xiǎn)的認(rèn)識。本文主要研究工作和創(chuàng)新包括下面四個(gè)方面： 一、構(gòu)建了基于背景風(fēng)險(xiǎn)偏好度的可能性均值-方差模型以及含流動(dòng)性約束的雙目標(biāo)可能性MV模型，討論了不同背景風(fēng)險(xiǎn)偏好度對投資組合風(fēng)險(xiǎn)及可能性有效前沿的影響。在分析現(xiàn)有的關(guān)于背景風(fēng)險(xiǎn)研究的現(xiàn)狀基礎(chǔ)上，以可能性理論為基礎(chǔ)，將風(fēng)險(xiǎn)資產(chǎn)和背景資產(chǎn)的收益率均視為模糊變量，提出了基于背景風(fēng)險(xiǎn)偏好度的可能性均值-方差模型以及含流動(dòng)性約束的雙目標(biāo)可能性MV模型。模型在現(xiàn)有研究成果的基礎(chǔ)上考慮了邊界限制、交易費(fèi)用、流動(dòng)性等現(xiàn)實(shí)因素對投資策略的影響。依據(jù)模糊集理論將風(fēng)險(xiǎn)資產(chǎn)和背景資產(chǎn)的收益率視為LR-類模糊變量，進(jìn)而給出了兩模型的具體表達(dá)式。然后，通過對比分析展示了不同背景風(fēng)險(xiǎn)偏好度下的可能性投資組合的有效前沿，探討了流動(dòng)性約束對具有背景風(fēng)險(xiǎn)的可能性投資組合的影響。實(shí)證表明：背景風(fēng)險(xiǎn)偏好度對投資組合風(fēng)險(xiǎn)和可能性有效前沿都有一定的影響。當(dāng)給定的期望收益值相同時(shí)，背景風(fēng)險(xiǎn)偏好度越接近于1，投資者越偏好投資風(fēng)險(xiǎn)，其所承受的總風(fēng)險(xiǎn)越小，投資組合的可能性有效前沿向左上方移動(dòng)。 二、構(gòu)建了具有VaR約束的模糊投資組合模型以及具有背景風(fēng)險(xiǎn)和風(fēng)險(xiǎn)價(jià)值的模糊投資組合模型，分析了置信水平和VaR直線的截距對最優(yōu)策略的影響，進(jìn)一步探討了背景資產(chǎn)的均值和方差的變動(dòng)對投資組合風(fēng)險(xiǎn)及可能性有效前沿的影響。首先，將隨機(jī)不確定條件下的VaR約束推廣到可信性測度下。并把可信性測度下的VaR約束和交易費(fèi)用加入到模型中，分別建立了具有VaR約束的模糊投資組合模型以及具有背景風(fēng)險(xiǎn)和交易費(fèi)用的模糊投資組合模型。其次，以風(fēng)險(xiǎn)資產(chǎn)和背景資產(chǎn)收益率服從鐘形可能性分布的情況為例，分析了置信水平和VaR直線的截距對最優(yōu)投資策略的影響，展示了背景資產(chǎn)的均值和方差不同取值下的投資組合風(fēng)險(xiǎn)及可能性有效前沿。實(shí)證表明：當(dāng)具有背景風(fēng)險(xiǎn)和交易費(fèi)用的模糊投資組合模型中的其它參數(shù)保持不變，背景資產(chǎn)的均值增大時(shí)，其可能性有效前沿向左上方移動(dòng)，投資者所承受的總風(fēng)險(xiǎn)減小。保持模型其它參數(shù)值不變，背景資產(chǎn)收益率的方差增大時(shí)，其可能性有效前沿向右平移，投資者承受的總風(fēng)險(xiǎn)增加。 三、給出了兩個(gè)模糊數(shù)乘積的可能性均值、可能性方差和可能性協(xié)方差，構(gòu)建了具有背景風(fēng)險(xiǎn)的國際投資組合選擇模型。以可能性理論為依據(jù)，推導(dǎo)了兩個(gè)模糊數(shù)乘積的可能性均值、可能性方差和可能性協(xié)方差。以此為基礎(chǔ)，將匯率風(fēng)險(xiǎn)與背景風(fēng)險(xiǎn)同時(shí)引入到投資組合模型中�？紤]到匯率的浮動(dòng)性和不確定性，我們將匯率設(shè)為一個(gè)模糊變量，建立了具有背景風(fēng)險(xiǎn)的國際投資組合選擇模型。對比分析了匯率風(fēng)險(xiǎn)和背景風(fēng)險(xiǎn)對投資決策的影響，給出了不同情況下的可能性有效前沿。實(shí)證結(jié)果表明：當(dāng)給定的單位投資價(jià)值相同時(shí)，具有背景風(fēng)險(xiǎn)和匯率風(fēng)險(xiǎn)的投資組合風(fēng)險(xiǎn)更大。如果忽略對它們的考慮，投資者在投資中將低估投資組合風(fēng)險(xiǎn)，使其蒙受損失。 四、構(gòu)建了具有背景風(fēng)險(xiǎn)的可能性投資組合調(diào)整模型。已有的關(guān)于投資組合調(diào)整模型都認(rèn)為投資者所面對的風(fēng)險(xiǎn)只有一種，即投資風(fēng)險(xiǎn)。這些研究沒有考慮投資者的勞動(dòng)收入、健康狀況等背景風(fēng)險(xiǎn)的影響。針對這一點(diǎn)，我們在可能性投資組合基礎(chǔ)上進(jìn)一步地研究了具有背景風(fēng)險(xiǎn)的可能性投資組合調(diào)整模型，探討了背景風(fēng)險(xiǎn)偏好度對投資組合調(diào)整策略的影響。實(shí)證顯示：背景風(fēng)險(xiǎn)偏好度的變化影響著投資者的投資調(diào)整策略。當(dāng)背景風(fēng)險(xiǎn)偏好度減小時(shí)，投資者所承受的背景風(fēng)險(xiǎn)增加，使得投資者在投資中的總風(fēng)險(xiǎn)增加，其可能性有效前沿向右下方移動(dòng)。
[Abstract]:The core of the investment decision problem is how to select the optimal portfolio investment in many financial products. The classical portfolio model based on the investor's risk aversion wealth according to a certain proportion of the risky asset allocation between, in order to spread the risk, to ensure profits. The classical portfolio model that only investors bear the financial risk in investment, and in the actual investment environment for investors but also deal with the influence of risk of non financial risk. For example, labor income, health status, risk factors such as holding property (background risk). The background of risk in financial markets through portfolio allocation to disperse, and their presence greatly influence the behavior of investors in the financial market, thus making the investment portfolio problem. So far, there have been some scholars to consider back The portfolio problem of landscape risk is studied. These researches are mainly based on stochastic theory. They regard future returns of portfolio as stochastic variables.
However, there are many non random factors in the real financial market. Especially in a fuzzy investment environment, the return of risky assets is expressed as fuzzy numbers. Therefore, considering the fuzzy uncertainty of portfolio selection is one of the important fields in academic circles.
Based on the above two points, based on possibility theory is systematically analyzed and studied on the possibility of portfolio selection problem considering the background of risk factors, the possibility of portfolio selection model with risk factors was established according to the background environment. And in-depth analysis of portfolio efficient frontier and consider the possibility of background risk factors, deepen understanding on the background of risk. The main research work and innovation include the following four aspects:
A possibility to construct mean background risk preference model based on variance and with liquidity constraints and dual objective possibility of MV model, the influence of different background risk preference on portfolio risk and the possibility of the efficient frontier are discussed. After analyzing the existing background about risk research based on the current situation, on the basis of possibility theory the risk of assets and background, asset returns are regarded as fuzzy variables, the mean background possibility degree of risk variance based on the model with liquidity constraints and double target MV model. The model considers the possibility of boundary limitation in the existing research results on the basis of transaction cost, liquidity and other factors on the impact of reality investment strategy. On the basis of fuzzy set theory to risk assets and the background of asset returns as LR- fuzzy variables, and the specific expression of the two models are given. Then Then, through the comparative analysis shows the efficient frontier under different background risk preference of the possibility of investment portfolio, discusses the influence of liquidity constraints on the possibility of investment portfolio with background risk. Empirical evidence shows that: have a certain effect of background risk preference on portfolio risk and the possibility of efficient frontier. When given the expected profit value the same time, the background of the degree of risk is closer to 1, investors more investment risk appetite, total supported risk is small, the possibility of portfolio efficient frontier to move up and left.
Two, constructs the fuzzy portfolio model with VaR constraints and fuzzy portfolio model with the background of risk and risk value, analyzes the effect of intercept the confidence level and the VaR line of the optimal strategy, to further explore the influence of mean and variance of background changes to the asset portfolio risk and the possibility of efficient frontier at first. The stochastic uncertain VaR constraints is extended to the credibility measure. And the credibility measure under VaR constraints and transaction costs into the model, established fuzzy portfolio model with VaR constraints and fuzzy portfolio model with background risk and transaction cost. Secondly, the possibility distribution of the bell to obey for example in the background of risk assets and asset returns, analyzes the effect of intercept the confidence level and the VaR line on the optimal investment strategy, showing the background information Different values of the mean and variance of the portfolio risk and the possibility of efficient frontier. Empirical evidence shows that: when the other parameters of the fuzzy portfolio model with background risk and transaction costs in the assets remain unchanged, the mean background increases, the possibility of efficient frontier moves to the top left, the total risk of investors to decrease. The other model parameters unchanged, the background variance of asset returns increases, the possibility of efficient frontier to shift to the right, the total investment risk increased.
Three, given the possibility of mean two fuzzy numbers of the product, the possibility and the possibility of variance covariance, build international portfolio selection model with risk. The possibility of the background theory, derived the mean the possibility of two fuzzy numbers of the product, the possibility and the possibility of variance covariance. On this basis, the exchange rate risk and background risk at the same time is introduced into the portfolio model. Considering the floating exchange rate and uncertainty, we will exchange rate is set as a fuzzy variable, established the international portfolio selection model with background risk. Comparison and analysis of the impact of exchange rate risk and background risk on investment decisions, given the possibility of efficient frontier under different conditions. The empirical results show that: when the investment given the unit value of the same, with the background of risk investment portfolio risk and exchange rate risk more. If you ignore it To consider, investors will underestimate portfolio risk in investment and make them suffer.
Four, the possibility of constructing portfolio adjustment model with background risk. Has been on the risk investment portfolio adjustment model that investors have to face only one, namely investment risk. These studies do not consider the investor's labor income, affecting the health of background risk. At this point, we study the possibility of portfolio the adjustment model with background risk further in the portfolio on the basis of the background of risk preference on portfolio adjustment strategies. Empirical show: the background of the degree of risk affect the investment adjustment strategies of investors. When the background risk appetite decreases, investors bear the background risk increase, making the investors in the investment total risk increases, the possibility of efficient frontier of downward movement.

【學(xué)位授予單位】：華南理工大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2013
【分類號】：F830.59;F224

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