基于粒子群优化的GED-GARCH-VaR动态投资组合模型研究
发布时间：2018-12-17 19:37
【摘要】：投资者进行金融投资的目的就是为了获得利益，但利益总是伴随着风险的。投资的风险和收益总是同涨同减的，所以一个投资者如果想在投资的过程中获得较大的收益，，可以肯定的是，他进行投资的风险也非常高，现在人们更加喜欢进行分散化的投资，国外对于投资组合的研究趋于成熟，相对而言，国内的研究相对落后。但是经过国内学者多年的努力，在投资组合领域已经进行了较大的突破。投资组合研究的先驱是马克维茨的均值方差法，本文在其基础之上进行了较大的改进，引入了现实约束条件，包括：中国股市的交易费用、交易量限制、投资比例限制等，在此基础上建立了动态的GED-GARCH-VaR动态投资组合调整策略，并用智能算法进行了实例求解，验证了模型的有效性。 本文首先对国内外投资组合模型的研究现状、有关理论以及本文的研究方法和技术路线进行了介绍，然后阐述了比较主流的投资组合模型风险度量方式，对其优劣性进行了比较，重点介绍了VaR方式。接着分析了中国股市的波动性特征，并对处理波动性的几种常见方法进行了介绍，并通过实例验证了选取模型对处理中国股市波动性的有效性。本文对传统投资组合模型的风险进行了重新的定义，用在险价值VaR值来度量组合风险，并将其扩展到多期投资中，在文章最后选取了中国股市的真实数据，对模型的有效性进行了检验，并进行了横向和纵向比较。 本文采用了定量分析的方法，对改进后的投资组合模型进行了求解，由于考虑了交易中存在的实际问题，模型可以合理的反应实际市场中的情况。
[Abstract]:The purpose of investor's financial investment is to gain profit, but profit always comes with risk. The risks and returns of investments are always rising and decreasing, so if an investor wants to make a larger return on the investment process, it is certain that the risk of his investment is also very high. Nowadays, people prefer to invest in diversification. The research on investment portfolio tends to be mature abroad, but the domestic research is relatively backward. However, through the efforts of domestic scholars for many years, there has been a great breakthrough in the field of portfolio investment. The forerunner of portfolio research is Markowitz's mean variance method. Based on it, this paper makes a great improvement and introduces practical constraints, including: transaction cost, trading volume limit, investment ratio restriction, etc. On this basis, a dynamic GED-GARCH-VaR dynamic portfolio adjustment strategy is established, and an intelligent algorithm is used to solve the problem, which verifies the validity of the model. In this paper, the current situation of portfolio model research at home and abroad, the related theory, the research methods and technical route of this paper are introduced, and then the mainstream portfolio model risk measurement method is expounded. The advantages and disadvantages are compared, and the VaR mode is introduced emphatically. Then it analyzes the volatility characteristics of Chinese stock market, introduces several common methods to deal with volatility, and verifies the effectiveness of the selected model in dealing with the volatility of Chinese stock market. This paper redefines the risk of the traditional portfolio model, uses the VaR value to measure the portfolio risk, and extends it to the multi-period investment. At the end of this paper, we select the real data of the Chinese stock market. The validity of the model is tested and compared horizontally and vertically. In this paper, the method of quantitative analysis is used to solve the improved portfolio model. Considering the actual problems in the transaction, the model can reasonably reflect the situation in the real market.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.59;F224
本文编号：2384705
[Abstract]:The purpose of investor's financial investment is to gain profit, but profit always comes with risk. The risks and returns of investments are always rising and decreasing, so if an investor wants to make a larger return on the investment process, it is certain that the risk of his investment is also very high. Nowadays, people prefer to invest in diversification. The research on investment portfolio tends to be mature abroad, but the domestic research is relatively backward. However, through the efforts of domestic scholars for many years, there has been a great breakthrough in the field of portfolio investment. The forerunner of portfolio research is Markowitz's mean variance method. Based on it, this paper makes a great improvement and introduces practical constraints, including: transaction cost, trading volume limit, investment ratio restriction, etc. On this basis, a dynamic GED-GARCH-VaR dynamic portfolio adjustment strategy is established, and an intelligent algorithm is used to solve the problem, which verifies the validity of the model. In this paper, the current situation of portfolio model research at home and abroad, the related theory, the research methods and technical route of this paper are introduced, and then the mainstream portfolio model risk measurement method is expounded. The advantages and disadvantages are compared, and the VaR mode is introduced emphatically. Then it analyzes the volatility characteristics of Chinese stock market, introduces several common methods to deal with volatility, and verifies the effectiveness of the selected model in dealing with the volatility of Chinese stock market. This paper redefines the risk of the traditional portfolio model, uses the VaR value to measure the portfolio risk, and extends it to the multi-period investment. At the end of this paper, we select the real data of the Chinese stock market. The validity of the model is tested and compared horizontally and vertically. In this paper, the method of quantitative analysis is used to solve the improved portfolio model. Considering the actual problems in the transaction, the model can reasonably reflect the situation in the real market.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.59;F224
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