基于可能性理论和风险价值的组合投资模型研究

发布时间：2018-03-27 14:23

本文选题：可能性理论　切入点：摩擦因素　出处：《中北大学》2017年硕士论文

【摘要】：市场经济的发展和金融行业的改革,给金融市场造成了很大的影响,金融市场中的摩擦性因素和不确定性因素增加,从而引起了金融投资风险的增大。为了得到期初期望收益的同时使得投资风险在可承受的范围内,很多投资者通过组合投资来规避市场的投资风险,并且获取稳定的收益。因此,应用投资组合理论进行金融资产的最优配置已成为金融投资领域的重要研究课题之一。1952年马克维茨提出了基于均值-方差的组合投资模型,该模型以方差度量风险,以期望收益为约束条件对金融市场的投资组合问题进行了定量的研究。由于在实际的金融市场中,投资者在资产组合决策过程中往往会受到个人心理、社会因素、工作经验等因素的影响,而这些因素通常是不可定量描述的,因此,仅仅从资产组合收益率的随机性角度来研究投资组合问题是不够全面的。然而,在均值-方差资产投资组合优化模型的基础上发展的传统组合投资模型都是基于随机理论,基于随机理论的模型是通过将投资组合的收益作为一个随机变量进行定量的研究。随着可能性理论的出现和发展,研究人员越来越多地发现,可能性理论对于资产组合收益性度量的重要性,可能性理论在金融资产组合投资的问题中受到越来越多的关注,基于可能性理论的组合投资问题的研究已成为金融领域最重要的研究问题之一。本文首先基于可能性理论构建了可能性均值-方差的组合投资模型,并且给出了在投资组合收益率为钟形模糊数情形下的可能性均值-方差资产投资组合优化模型,随后通过将市场摩擦因素引入可能性均值-方差组合投资模型中,构建了更加符合实际的带有摩擦因素的可能性均值-方差资产投资组合优化模型,与传统的可能性均值-方差资产投资组合优化模型进行了比较,并且通过约束优化算法对两种模型进行求解,给出了模型的实证分析,验证了模型及方法的有效性。随后在可能性均值-方差资产投资组合优化模型的基础上研究了在摩擦市场因素的条件下基于可能性分布理论和风险价值理论的组合投资问题,提出了基于摩擦市场因素和风险价值理论的可能性组合投资模型,实证研究表明市场摩擦因素的变动对组合投资的风险具有一定的影响,基于摩擦市场因素和风险价值理论的可能性组合投资模型更符合实际的投资风险情况,为投资者选择更适合的投资策略提供参考。
[Abstract]:The development of the market economy and the reform of the financial industry have had a great impact on the financial market. The frictional and uncertain factors in the financial market have increased. In order to get the expected return at the beginning of the period and make the investment risk within the range of tolerance, many investors use portfolio investment to avoid the investment risk in the market. Therefore, the optimal allocation of financial assets based on portfolio theory has become one of the important research topics in the field of financial investment. In 1952, Markowitz proposed a portfolio investment model based on mean-variance. The model measures the risk with variance and takes the expected return as the constraint condition to study the portfolio problem of financial market quantitatively. Because in the actual financial market, investors are often subjected to personal psychology in the process of portfolio decision. Social factors, work experience and other factors, which are usually not quantitatively described, therefore, it is not comprehensive to study portfolio problems from the perspective of the randomness of portfolio return. The traditional portfolio investment models developed on the basis of mean-variance asset portfolio optimization model are based on stochastic theory. The model based on stochastic theory is studied quantitatively by using the return of the investment portfolio as a random variable. With the emergence and development of the possibility theory, researchers have found more and more, The importance of possibility theory to the measurement of portfolio profitability, and the possibility theory has attracted more and more attention in the problem of financial portfolio investment. The study of portfolio investment based on possibility theory has become one of the most important research problems in the field of finance. The possibility mean-variance portfolio optimization model is given when the portfolio return rate is bell-shaped fuzzy number, and then the market friction factor is introduced into the possibility-mean-variance portfolio investment model. The possibility mean-variance portfolio optimization model with friction factors is constructed and compared with the traditional possibility mean-variance asset portfolio optimization model. And through the constraint optimization algorithm to solve the two models, the empirical analysis of the model is given. The validity of the model and the method is verified. Then, based on the possibility mean-variance portfolio optimization model, the portfolio investment problem based on the probability distribution theory and the risk value theory is studied under the condition of friction market factors. A possible portfolio investment model based on frictional market factors and risk value theory is proposed. The empirical study shows that the change of market friction factors has a certain impact on the risk of portfolio investment. The possibility portfolio investment model based on frictional market factors and risk value theory is more in line with the actual investment risk situation and provides a reference for investors to choose more suitable investment strategies.
【学位授予单位】：中北大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F830.59;O211

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