对同时具有加和与倍乘收益特征的风险资产的问题研究

发布时间：2019-02-26 17:20

【摘要】：投资对象——金融资产，是投资学理论研究的重点内容。从研究角度来看，目前对金融资产的研究内容分为定价理论、投资收益理论、风险分析理论等。金融经济学是从风险资产的收益表现形式的角度研究的金融资产，，它将风险资产分为加和收益特征的风险资产和倍乘收益特征的风险资产，并分别推导出这两种不同收益特征的风险资产的收益水平和所要求的风险溢价。而随着金融市场的发展和不断创新，金融产品收益的表现形式更为复杂，仅仅用单独的加和收益特征和倍乘收益特征已经不能够准确描述一项金融资产。本文是受金融经济学的启发，也是从风险资产收益表现形式的角度展开研究，本文将金融资产的收益模式扩展到了加和收益和倍乘收益特征混合的模式，提出了直接混合模式、组合混合模式、概率混合模式三种新形式的风险资产，并针对这三种形式的风险资产分别推导出他们的收益、风险、最优投资比例、风险溢价的数学公式，研究了同时具有加和收益和倍乘收益特征的风险资产的投资组合问题。在此基础上，本文也分别针对这三种新的收益模式列举了三个计算实例，通过实例的计算和应用过程介绍了本文理论公式的应用和参数的计算过程，同时也侧面的验证了本文的一些理论结论。
[Abstract]:Financial assets, the object of investment, is the key content of the theoretical research of investment. From the perspective of research, the current research on financial assets is divided into pricing theory, investment return theory, risk analysis theory and so on. Financial economics is a financial asset which is studied from the point of view of the performance form of the return of the risk asset. It divides the risk asset into the risk asset with the characteristic of the sum income and the risk asset with the characteristic of multiplying the income. The return level and the required risk premium of these two kinds of risk assets with different income characteristics are deduced respectively. With the development and innovation of financial market, the form of financial product income is more complicated. It is no longer possible to describe a financial asset accurately by single additive and multiplicative characteristics. This paper is inspired by financial economics, but also from the perspective of the performance of risk asset returns. This paper extends the income model of financial assets to the mixed model of additive returns and multiplicative returns, and puts forward a direct mixed model. Combined mixed model and probabilistic mixed model are three new forms of risk assets, and the mathematical formulas of income, risk, optimal investment ratio and risk premium are derived for these three forms of risk assets. In this paper, we study the portfolio problem of venture assets with both additive returns and multiplicative returns. On this basis, this paper also enumerates three calculation examples for these three new income models, and introduces the application of the theoretical formula and the calculation process of the parameters through the calculation and application process of the example. At the same time, it also validates some theoretical conclusions of this paper.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830.59;F830.91

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