模糊投资组合问题的研究

发布时间：2018-04-12 10:21

本文选题：模糊投资组合 + 背景风险　；参考：《中南大学》2014年硕士论文

【摘要】：摘要：最优投资组合问题一直都是金融领域研究的核心问题之一。由于现实的证券市场中存在许多不确定因素,模糊环境下的投资组合问题的研究显得更有意义。在传统模糊投资组合问题中风险分析只考虑了投资组合产生的风险,忽视了投资组合之外产生的背景风险。考虑到背景风险的存在对投资者的决策行为具有较大的影响,本文将背景风险因素引入到模糊投资组合中。首先,本文在模糊环境下将证券收益看作模糊变量,同时考虑背景风险因素,建立最优投资组合选择模型。选取部分股票进行实证分析,给出考虑背景风险因素的模糊投资组合的有效前沿,并与不考虑背景风险因素的模糊投资组合的有效前沿进行了对比分析。考虑背景风险因素能更好反映现实经济环境中的投资风险,使投资者能够选择更适合自己的投资组合。另外,由于正态模糊数的隶属函数中变量取值范围是从负无穷到正无穷,但实际上风险资产的收益肯定是在有限区间内的。因此我们简单地用正态模糊数表示风险资产的收益不太恰当。为了更好地描述风险资产的收益,本文构造了一个对称三角模糊数,该三角模糊数既保留了正态模糊数的均值、方差的信息,又具有三角模糊数的性质,从而更好地反映了风险资产模糊收益的分布。将新形式的隶属函数引入到模糊投资组合模型中,求解出包含更多信息的最优投资组合。图6幅,表6个,参考文献70篇
[Abstract]:Absrtact: the optimal portfolio problem has always been one of the core problems in the field of finance.Because there are many uncertain factors in the real securities market, it is more meaningful to study the portfolio problem in the fuzzy environment.In the traditional fuzzy portfolio problem, the risk analysis only considers the risk caused by the portfolio, but ignores the background risk generated outside the portfolio.Considering that the existence of background risk has a great influence on investors' decision-making behavior, this paper introduces the background risk factor into the fuzzy portfolio.Firstly, in this paper, the security return is regarded as a fuzzy variable in fuzzy environment, and the optimal portfolio selection model is established by considering the background risk factors at the same time.Some stocks are selected for empirical analysis, and the effective frontier of fuzzy portfolio considering background risk factors is given, and compared with that of fuzzy portfolio without background risk factors.Considering the background risk factors can better reflect the investment risk in the real economic environment, so that investors can choose a more suitable investment portfolio.In addition, because the value range of variable in membership function of normal fuzzy number is from negative infinity to positive infinity, in fact, the return of risk asset must be in the finite range.Therefore, it is not appropriate for us to simply use normal fuzzy numbers to represent the return of risky assets.In order to better describe the return of risky assets, a symmetric triangular fuzzy number is constructed in this paper. The triangular fuzzy number not only retains the information of the mean value and variance of the normal fuzzy number, but also has the property of the triangular fuzzy number.Thus better reflects the risk assets fuzzy income distribution.A new form of membership function is introduced into the fuzzy portfolio model to solve the optimal portfolio with more information.6 figures, 6 tables, 70 references
【学位授予单位】：中南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F830.59

【共引文献】