基于不同风险度量下的投资组合模型研究

发布时间：2018-04-09 12:14

本文选题：投资组合　切入点：机会成本　出处：《广西大学》2016年硕士论文

【摘要】：现代投资理论起源于1952年Markowitz提出的投资组合选择方法.而这数十年,在理论和实践方面,证券投资组合模型得到了国内外学者的深入研究与应用,但仍面临着不少的问题.例如：风险度量的选择、成本问题、约束条件、投资组合问题等.因此,本文一方面针对投资组合构建过程中所涉及的成本问题进行定量分析.另一方面,针对金融资产收益率的分布所普遍具有的“尖峰”与“厚尾”特征,以稳定分布的特性为出发点对投资组合进行数学建模.本文主要研究工作和创新之处如下：(1)介绍了均值-VaR模型,对机会成本与交易成本的进行了定义.在正态分布假设下,构造含有机会成本与交易成本的收益率函数：并以VaR作为风险度量,构建带机会成本与交易成本的均值并给出该模型最优策略的解析式与有效前沿的曲线方程.同时,讨论了机会成本与交易成本变动对模型有效前沿与最优解的影响.(2)介绍了稳定分布的主要性质与定义.在稳定分布的条件下,根据市场模型zt=μ+bY+ε来建立模型,以最终的投资组合资产总值来度量收益,扰动项ε的尺度参数来度量风险,建立了带机会成本与交易成本的投资组并给出了当扰动项ε服从正态分布时的该模型最优策略的解析式：
[Abstract]:The modern investment theory originates from the portfolio selection method proposed by Markowitz in 1952.However, in theory and practice, portfolio model has been deeply studied and applied by scholars at home and abroad, but it still faces many problems.For example: the choice of risk measurement, cost problems, constraints, portfolio problems and so on.Therefore, on the one hand, this paper carries on the quantitative analysis to the cost question involved in the investment portfolio construction process.On the other hand, aiming at the "peak" and "thick tail" characteristics of the financial asset return distribution, this paper makes a mathematical model of the portfolio with the characteristics of stable distribution as the starting point.This paper introduces the mean-VaR model and defines the opportunity cost and transaction cost.Under the assumption of normal distribution, a return function with opportunity cost and transaction cost is constructed, and VaR is used as the risk measure.The mean value with opportunity cost and transaction cost is constructed and the analytical formula of the optimal strategy and the curve equation of the efficient frontier are given.At the same time, the influence of opportunity cost and transaction cost on the efficient frontier and optimal solution of the model is discussed. (2) the main properties and definitions of stable distribution are introduced.Under the condition of stable distribution, the model is established according to the market model zt = 渭 bY 蔚, and the return is measured by the final portfolio value, and the risk is measured by the scale parameter of the disturbance term 蔚.In this paper, an investment group with opportunity cost and transaction cost is established, and the analytical formula of the optimal strategy of the model is given when the perturbed term 蔚 is in the normal distribution.
【学位授予单位】：广西大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F224;F830.59

【相似文献】