证券投资决策的实验设计研究

发布时间：2018-07-15 16:05

【摘要】：近年来经济发展飞速,国民生产总值呈不断增长的趋势,国民收入不断的提高,居民收入在满足消费性支出之外,投资性支出的比重逐渐增大。随着银行存款效益的下降和信托存款信誉危机的出现,人们的思想越来越开放,更多的人选择证券投资。同时,政府及相关机构对证券市场机制的日益完善,证券投资在现实生活中越来越受到人们的重视,但是盲目的投资往往会使投资者经受金钱上的损失,所以,如何进行有效的投资决策,尽可能的将投资损失降低到最小成为越来越多的人关注的问题。本文首先针对马柯维茨模型和资本资产定价模型进行分析,模型中一些非现实意义的假设使其实用性降低,同时,提出采用实验设计的方法对证券投资问题进行优化分析;采用最基本的期望效用函数模型,通过均匀实验设计进行模型优化求解,并通过实证研究证明了方法的有效性;对有上、下界约束的混料实验设计进行了分析研究,并以信噪比为衡量指标,进行了序贯实验设计,在实证分析中,对前文的实例进行了序贯优化,取得了更优的实验组合,证明了其可行有效性;采用了质量工程理论中的质量损失函数法进行稳健性设计,将其与展望理论相融合,提出了投资组合分析的非对称质量损失函数,以质量损失函数最小化为目标,进行了实证研究,得到了最佳投资组合方案。实验设计是一种对变量进行控制的方法,即控制自变量从而影响因变量,使其更加便于观察计算,通过科学合理的安排实验,大大减少了实验次数,降低实验成本。实验设计是实验经济学中主要研究方法,随着学科融合发展,逐渐被用于证券投资决策问题中,并收效显著,经中国学者的不断研究和改进,形成了一套符合中国证券市场现状的实验方法,为国内投资者提供了更多的依据。
[Abstract]:In recent years, the economy has developed rapidly, the gross national product (GNP) is increasing, the national income is constantly increasing, and the proportion of the investment expenditure is increasing in addition to the consumption expenditure. With the decline of the bank deposit efficiency and the credit crisis of the trust deposit, the people's thought is more and more open, and more people choose to choose. At the same time, the government and the related institutions are becoming more and more perfect in the securities market mechanism, and the securities investment has been paid more and more attention in the real life. But the blind investment often makes the investors suffer the loss of money. So, how to make effective investment decisions and minimize the loss of investment to the minimum is the more important. The more people pay attention to. This paper first analyzes the Markowitz model and the capital asset pricing model, and some of the non realistic assumptions make its practicability lower. At the same time, we propose an experimental design method to optimize the securities investment problem, and adopt the most basic expected utility function model. The uniform experimental design is optimized to solve the model, and the effectiveness of the method is proved by the empirical study. The experimental design of the mixture with upper and lower bound is analyzed and studied. The sequential experimental design is carried out with the signal-to-noise ratio as the measure index. In the empirical analysis, the sequential optimization of the previous examples is carried out, and the better experiments have been obtained. By combining the quality loss function method in the quality engineering theory and combining it with the prospect theory, the asymmetric mass loss function of the portfolio analysis is proposed, which aims at the minimization of the mass loss function, and the optimal portfolio scheme is obtained. The experimental design is a method of controlling the variable, that is to control the independent variable and influence the dependent variable and make it more convenient to observe and calculate. Through the scientific and rational arrangement of the experiment, the experiment design is the main research method in the experimental economics, and the experimental design is the main research method in the experimental economics. In the problem of investment decision, the effect is remarkable. After the continuous research and improvement of Chinese scholars, a set of experimental methods conforming to the current situation of China's securities market has been formed, which provides more basis for domestic investors.
【学位授予单位】：青岛大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F224;F832.51

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