基于风险偏好的航运公司多元化投资组合决策研究

发布时间：2018-10-21 18:23

【摘要】：随着投资行为决策理论不断的发展及成熟,研究者在研究决策者投资问题时越来越注重非经济因素在决策中的重要性,尤其是人的因素里的具有代表性的风险偏好因素对决策结果的影响。单个投资项目的投资决策将人的风险偏好纳入决策因素里的研究颇多。随着单项投资研究的成熟,人们开始将风险偏好考虑到具有多项投资组合的研究中来。航运领域也先后出现了考虑决策者风险态度的投资决策。航运公司综合分析其战略发展、发展模式等基础上,当考虑到多元化投资组合决策问题时,不同风险偏好决策者势必对组合方案采取不同的决策行动方案。文章针对不同风险偏好决策者在面对较复杂的组合投资时通过构建决策模型算出适合其的组合方案,为不同风险偏好决策者提供决策借鉴。文章首先系统分析航运公司多元化投资决策现状及多元化投资决策现状的不足,以及航运企业多元化投资组合的风险,总结风险决策的影响因素及风险偏好对决策的影响地位,提出基于风险偏好的投资组合理论并建立模型。其次将刻画决策者风险偏好的效用函数与均值-方差模型结合,分别建立风险厌恶与风险喜好投资组合决策模型。通过实证计算分析,得出不同风险态度者决策结果并与未考虑风险态度的投资组合计算结果对比,通过数据分析验证决策思路的合理性。
[Abstract]:With the development and maturity of investment behavior decision theory, researchers pay more and more attention to the importance of non-economic factors in decision making. In particular, the representative risk preference factors in the human factor affect the decision-making results. The investment decision of a single investment project includes people's risk preference in the decision-making factors. With the maturity of single investment research, people begin to take risk preference into account in studies with multiple portfolios. The shipping field also appeared successively to consider the decision maker's risk attitude investment decision. On the basis of comprehensive analysis of the strategic development and development model of shipping companies, when considering the problem of portfolio decision, the decision makers with different risk preferences will take different decision action schemes for the portfolio schemes. In this paper, the decision makers with different risk preferences are faced with more complex portfolio investment, which can be used as a reference for different risk preference decision makers by constructing a decision model to work out the appropriate portfolio scheme for different risk preference decision makers. Firstly, the paper systematically analyzes the current situation of shipping companies' diversified investment decision and the deficiency of diversified investment decision, as well as the risk of shipping enterprise's diversified investment portfolio, and summarizes the influencing factors of risk decision and the influence position of risk preference on decision-making. The portfolio theory based on risk preference is put forward and the model is established. Secondly, the utility function which describes the risk preference of decision makers is combined with the mean-variance model to establish the risk aversion and risk preference portfolio decision models respectively. Through empirical calculation and analysis, the decision results of people with different risk attitudes are obtained and compared with the results of portfolio calculation without considering risk attitude, and the reasonableness of decision making ideas is verified by data analysis.
【学位授予单位】：武汉理工大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F550.66;F224

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