本文選題：模糊變量 + 投資組合優(yōu)化�。� 參考：《蘭州理工大學》2017年碩士論文

【摘要】：人們在投資中,考慮到要將風險分散,往往選擇不同的投資項目進行投資;為了使投資的比重更加合適還需要對具體的投資資產做多元化的分配,伴隨這個問題,證券投資組合理論應運而生。由于在投資市場中,人們的大眾行為受思維和環(huán)境等因素的影響,而人的思維判斷具有一定的模糊性以及經濟現象本身所具有的復雜性使得現實金融市場具有不確定性和模糊性,傳統(tǒng)的概率論方法下的投資組合模型已經不能滿足現實市場的需求,理性的投資決策在滿足風險收益均衡的同時還需要考慮很多標準。因此,模糊方法比概率方法更適合表達真正金融市場的不確定性。本文基于經典的均值-方差理論,模糊集的概念和可能性理論,運用模糊方法來表達金融市場中的不確定性。在滿足投資者的最大收益和最小風險兩個愿望水平的前提下,假設收益率為模糊變量,從而得到相應的模糊投資組合優(yōu)化模型。由于現實生活中的投資市場是復雜的、移動的,在滿足風險收益均衡的同時還考慮很多其他因素,例如:交易成本,多元化程度等。對于資產具有相同投資期限的情況,在假設收益率為模糊變量的條件下考慮變動市場的因素,建立了模糊投資組合優(yōu)化模型;在假設收益率為歷史收益率的線性組合模糊變量的條件下,建立了相應的模糊投資組合優(yōu)化模型,并且均進行了實例驗證,與傳統(tǒng)的模型結果相對比,更符合現實的金融市場情況。對于資產具有不同投資期限的情況,假設資產的投資期限可能小于投資期數、也可能大于投資期數,分別得出了相應的財富表達式,并且給出了實例驗證。
[Abstract]:In investment, people tend to invest in different investment projects in order to spread out the risks; to make the proportion of investment more appropriate, they also need to diversify the allocation of specific investment assets, along with this problem. Portfolio theory emerges as the times require. Because in the investment market, people's public behavior is influenced by factors such as thinking and environment, The fuzziness of human's thinking judgment and the complexity of economic phenomenon make the real financial market have uncertainty and fuzziness. The traditional portfolio model based on probability theory can not meet the needs of the real market. Rational investment decision can not only meet the risk and return equilibrium, but also need to consider a lot of criteria. Therefore, the fuzzy method is more suitable than the probability method to express the uncertainty of the real financial market. Based on the classical mean-variance theory, the concept of fuzzy set and the possibility theory, this paper uses the fuzzy method to express the uncertainty in the financial market. On the premise of satisfying the two desired levels of maximum return and minimum risk of investors, the fuzzy portfolio optimization model is obtained by assuming that the return rate is a fuzzy variable. Because the investment market in real life is complex and mobile, many other factors are considered, such as transaction cost, diversification degree and so on. For the case where the assets have the same investment term, the fuzzy portfolio optimization model is established under the assumption that the return rate is a fuzzy variable, and the factors of the changing market are considered. Under the condition that the return rate is assumed to be a linear portfolio fuzzy variable with historical rate of return, the corresponding fuzzy portfolio optimization model is established, and it is verified by examples, and compared with the results of the traditional model. More realistic financial market conditions. For the case where the assets have different investment periods, it is assumed that the investment period of the assets may be less than the investment period or the investment period may be larger than the investment period. The corresponding wealth expressions are obtained respectively, and an example is given to verify the results.
【學位授予單位】：蘭州理工大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.5;O159

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相關期刊論文 前1條

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本文編號：1907806