不确定环境下基于CVaR的稳健投资组合模型研究

发布时间：2018-05-31 09:20

本文选题：CVaR投资组合 + 不确定环境　；参考：《首都经济贸易大学》2014年硕士论文

【摘要】：由于现在金融市场形势变化多端，各种金融风险管理的策略和技术也就应运而生，在如今复杂多变的金融市场上，投资者为了赚取收益也使得证券市场发展势头迅猛。然而证券投资时收益存在着不确定性，因此，投资者就必须在不确定的环境下做出正确的决策。稳健优化主要是考虑了得出不确定参数值以后，能够对不同的目标函数值给出其差异点，而不只是强调其数学期望值。稳健优化的目标值可以由决策者使用不同的度量方法得到。所以，在投资中稳健决策非常重要。本文主要进行不确定环境下CVaR稳健决策模型的研究。首先，对传统的投资组合和现代的投资组合进行总结，并且给出常见的风险度量方法，主要包括均值-方差、VaR和CVaR，并且对VaR和CVaR进行对比，选用CVaR作为本文进行金融风险度量工具进行研究，主要从一般情形下和正态分布情形下的进行分析。其次，本文进行不确定环境下基于CVaR的稳健决策模型研究，在这部分，先总结了稳健模型的一些常用方法，主要针对混合分布下的稳健决策模型进行系统性的总结。然后，分别从一般混合分布和混合正态分布下构建基于CVaR的稳健决策模型。最后，本文选取上证市场上10支股票，首先，从非稳健决策模型均值-VaR和稳健均值-VaR比较两者之间的差异，然后，从非稳健决策模型均值-CVaR和稳健决策模型WCVaR进行对比分析，从中得出稳健模型的重要性。最后对投资者在不确定性环境下进行稳健决策时给出一些建议本文在不确定环境下进行基于CVaR的稳健模型构建，不确定性稳健模型已经深入到许多科研领域，，成为理论界研究的一个热点，也是每个投资者在决策中面临的问题．本文的理论研究将促进不确定环境下的稳健决策。
[Abstract]:As the situation of financial market is changing, the strategy and technology of various financial risk management have come into being. In today's complex and changeable financial market, investors make the rapid development of the securities market in order to earn profits. However, there is uncertainty in the income of securities investment, so investors must be uncertain. To make the correct decision under the environment, the robust optimization is mainly to consider the uncertainty of the value of the target function, and not only emphasize its mathematical expectation. The target value of the robust optimization can be obtained by the decision-makers using different metric methods. Therefore, the robust decision in the investment is very good. It's important.
This paper mainly studies the CVaR robust decision model under the uncertain environment. First, it summarizes the traditional portfolio and modern portfolio, and gives the common risk measurement methods, including mean variance, VaR and CVaR, and compares VaR to CVaR, and selects CVaR as a financial risk measurement tool. The research is carried out mainly from the general situation and normal distribution. Secondly, this paper studies the robust decision model based on CVaR in the uncertain environment. In this part, we first summarize some common methods of robust model, mainly summarize the robust decision-making model under the mixed distribution. Then, respectively. The CVaR based robust decision model is constructed from the general mixed distribution and mixed normal distribution. Finally, this paper selects 10 stocks in the Shanghai stock market, first, compares the difference between the mean -VaR of the non robust decision model and the robust mean value -VaR, and then compares the non robust decision model mean -CVaR with the robust decision model WCVaR. Finally, it gives some suggestions for investors to make robust decisions in uncertain environment.
In this paper, we build a robust model based on CVaR in the uncertain environment. The uncertainty robust model has already penetrated into many scientific research fields. It has become a hot spot in the theoretical circle and also the problem that each investor faces in the decision. The theoretical study of this paper will promote the robust decision under the uncertain environment.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F830.91

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