投资决策模型适应的环境及优劣性探讨

发布时间：2018-03-14 06:17

本文选题：证券组合　切入点：债券估价模型　出处：《华中师范大学》2013年硕士论文　论文类型：学位论文

【摘要】：投资者投资可选择债券、股票、外汇以及它们的组合进行投资,投资决策不同,其获得的预期收益或者风险不同,于是带给投资者的满意程度也就不同。所以投资者需要正确运用投资决策模型。如果要选择正确的投资模型,首先必然充分认识每个模型的适应条件以及优劣性。因而本文主要分析了债券估价模型,均值-方差模型,引入VaR约束的均值-方差模型,差分自回归移动平均模型即ARIMA模型,广义自回归异方差模型即GARCH模型所适宜的环境以及优劣性,并通过实例分析说明如何选择投资模型。投资者可以将全部资金投资于无风险的债券,也可以全部资金投资于风险证券,或可以在两种投资之间合理分配。本文第二章介绍的债券估价模型便适合于将资金全部投资于无风险的债券的投资者。选择该种投资方式的投资者是极度风险厌恶的,这类投资者宁可选择将所有资金投资于无风险债券以获得稳定的较低的回报也不愿尝试冒一点儿风险去获得高回报的机会。另外,本章给出了如何进行无风险投资的一些例子。第三章介绍了这样的模型,它们适合于将资金投资于股票市场或者将资金在于股票市场和无风险债券市场的投资者。这些模型基于投资组合理论,但适合于不同的金融市场环境,主要涉及到均值-方差模型,不允许卖空条件下的均值-方差模型。进一步,如果是投资者对风险大小有一定的要求,投资者可选择VaR约束的投资组合优化模型。除此之外,本章的实证分析以及这些模型的优劣分析会更加具体的帮助到投资者选择证券的模型,以及具体应用这些模型。第四章介绍了当投资者投资于外汇市场时,应用时间序列分析预测模型,这些模型包括平稳序列模型、ARIMA(p,d,q)模型和广义自回归异方差模型及其优劣性。例如,虽然广义自回归异方差模型是较新的研究外汇风险模型,但此模型稍显复杂,而且并不是所有的汇率风险预测都适合使用该模型进行分析。各类模型虽然适合于在本文论述的一类投资者,但是要合理运用他们仍有很多约束条件。而且这些模型只在特定的环境下才是有效的。倘若投资者忽视模型分析的应用环境和约束条件,非但不能获得更高的投资报酬,甚至会与自己的投资目标相悖。
[Abstract]:Investors can invest in bonds, stocks, foreign exchange and their portfolios. Different investment decisions will result in different expected returns or risks. So investors need to use the investment decision model correctly. If you want to choose the right investment model, First of all, we must fully understand the adaptive conditions and the advantages and disadvantages of each model. Therefore, this paper mainly analyzes the bond valuation model, the mean-variance model, the mean-variance model with VaR constraints, and the difference autoregressive moving average model, that is, the ARIMA model. The generalized autoregressive heteroscedasticity model is the suitable environment for the GARCH model and its merits and demerits. An example is given to illustrate how to select the investment model. Investors can invest all their money in riskless bonds, or they can invest all their money in risky securities, or they can allocate it reasonably between the two investments. The bond valuation model introduced in the second chapter of this paper is suitable for investors who invest all their funds in riskless bonds. The investors who choose this type of investment are extremely risk-averse. This group of investors would prefer to invest all their money in riskless bonds to achieve a stable lower return rather than try to take a little risk to get a high return. In addition, this chapter gives some examples of how to make riskless investments. The third chapter introduces the models, which are suitable for investors who invest their money in the stock market or in the stock market and the risk-free bond market. These models are based on portfolio theory. But it is suitable for different financial market environment, mainly involves the mean-variance model, and does not allow the mean-variance model under the condition of short selling. Further, if the investor has certain requirements for the size of the risk, In addition, the empirical analysis of this chapter and the analysis of the advantages and disadvantages of these models will help investors to choose the model of securities, and the specific application of these models. Chapter 4th introduces the prediction models of time series analysis when investors invest in the foreign exchange market. These models include the stationary sequence model and the generalized autoregressive heteroscedasticity model and their merits and demerits, for example, the stationary sequence model and the generalized autoregressive heteroscedasticity model. Although the generalized autoregressive heteroscedasticity model is a relatively new model to study foreign exchange risk, it is a little complicated. Moreover, not all exchange rate risk forecasts are suitable for analysis using this model. Although all kinds of models are suitable for the class of investors discussed in this paper, But there are still many constraints to their rational use. And these models are effective only in specific circumstances. If investors ignore the applied environment and constraints of model analysis, they will not be able to get a higher return on their investment. It even goes against its own investment goals.
【学位授予单位】：华中师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F830.59

【共引文献】