考虑信贷约束和背景风险的改进安全首要投资组合选择模型研究

发布时间：2018-02-24 07:32

本文关键词： 信贷约束背景风险改进安全首要投资组合　出处：《宁波大学》2012年硕士论文　论文类型：学位论文

【摘要】：投资组合优化一直是金融领域人们津津乐道的话题之一。任何投资都是追求收益性的，正如我国社保基金投资，面对未来巨大的缺口，虽然必须保证投资的安全性，但更需要通过投资实现保值增值以满足社会发展需求。如何在保障投资安全性的前提下提高投资收益已经成为学术界关注的热点和急需解决的话题。改进安全首要思想以控制风险为立足点，强调投资安全性，预防极端损失发生，在此基础上追求收益最大化。而近年来，，由次贷危机引起的全球金融危机的冲击激起了人们关于信贷约束、背景风险与投资等风险因素的讨论。因此，首先，本文在经典安全首要思想的基础上，通过对不同类型信贷需求投资者行为的分析，建立了只存不贷、只贷不存和有贷有存下的信贷约束的MSF模型。在限定概率下给定组合期望时，运用拉格朗日函数和库恩-塔克条件对允许卖空时的模型进行求解，得出了模型最优解的显性表达式以及不允许卖空时最优解的算法。接着，分别考虑了背景风险资产和金融风险资产收益相关与不相关的情况，建立考虑背景风险的MSF模型,运用同样的方法对模型进行了求解。最后，利用我国资本市场历史数据，对模型的解进行案例分析，在限定概率为10%的情况下，进一步分析不同经济因素对最优投资组合的影响。研究所得结论有：在限定概率下给定组合期望时，只存不贷的投资组合受无风险存款利率影响；只贷不存组合与贷款利率和银行贷款限制比例有关；有存有贷组合受无风险存贷利差影响。在遭遇背景风险时，最优投资组合取决于背景风险资产收益与金融风险资产收益相关程度大小。
[Abstract]:Portfolio optimization has always been one of the favorite topics in the financial field. Any investment is profit-seeking, just as China's social security fund is facing a huge gap in the future, although it is necessary to ensure the safety of investment. However, it is more necessary to maintain and increase the value of investment in order to meet the needs of social development. How to improve investment returns on the premise of ensuring the security of investment has become a hot topic and a topic of urgent need to be solved in academia. The primary idea of improving security is to control risk, emphasize the security of investment, prevent extreme losses, and pursue the maximization of income. In recent years, The impact of the global financial crisis caused by the subprime mortgage crisis has aroused people's discussion on credit constraints, background risks and investment. Based on the analysis of the behavior of investors in different types of credit demand, the MSF model of credit constraint with only saving, no saving and loan-only deposit is established. When the combination expectation is given under the limited probability, The Lagrangian function and Kuhn Tucker condition are used to solve the model when short selling is allowed. The explicit expression of the optimal solution of the model and the algorithm of optimal solution when short selling is not allowed are obtained. Considering the correlation and uncorrelation of background risk assets and financial risk assets, the MSF model considering background risk is established, and the model is solved by the same method. Finally, the historical data of China's capital market are used to solve the model. A case study is carried out on the solution of the model, and the influence of different economic factors on the optimal portfolio is further analyzed under the condition that the probability is limited to 10%. The conclusions of the study are as follows: when the combination expectation is given under the limited probability, the portfolio with only saving and not lending is affected by the risk-free deposit interest rate, and the loan-only non-deposit portfolio is related to the loan interest rate and the bank loan restriction ratio. The optimal portfolio depends on the degree of correlation between the return of background risk assets and the return of financial risk assets.
【学位授予单位】：宁波大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830.9;F224

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