风险投资组合模型优化及应用研究
发布时间：2018-08-22 11:19
【摘要】：随着金融行业的蓬勃发展,风险投资组合成为越来越重要的金融投资行为,国内外学者也越来越重视风险投资组合理论的研究,风险投资组合是指在随机市场下通过对风险资产的预期收益及风险衡量进行投资。合理的风险投资组合模型给投资人在投资组合决策中提供了合理的依据,一定程度上分散了风险,保证了收益的稳定性。马克维茨的均值-方差模型是现代投资组合理论的奠基,是投资机构使用最为广泛的投资组合模型,但是均值-方差模型中,马克维茨的假设使得该模型在实际的投资组合行为中具有一定的局限性,并且由于模型与市场环境的不一致性,导致在实际使用过程中会有一定程度的偏差,因此,众多学者致力于对均值-方差模型的优化与改进。论文对当前风险投资组合模型以及风险度量工具作出了研究与分析,在马克维茨均值-方差模型基础上,用VaR来代替方差,引入均值-VaR模型,建立基于均值-VaR的风险投资组合决策模型,并根据投资风险偏好,考虑到机会约束,建立机会约束下的均值-VaR风险投资组合模型并应用实例进行分析。考虑到市场环境内并不是只包含风险资产,因此在最终模型的基础上引入无风险资产,并通过应用进行求解。论文的创新之处在于:(1)用VaR代替方差,建立了均值-VaR模型,简化了 VaR约束下的均值-方差模型;(2)根据实际市场情况,在组合模型中考虑到无风险资产的存在,使得模型应用更加实用、广泛;(3)针对以上模型,通过建立表达式,讨论了模型解存在的唯一性,并阐述了模型的有效边界;(4)引入实证应用,验证模型存在的实际意义,并通过实证分析,研究模型的不足。
[Abstract]:With the booming development of financial industry, venture capital portfolio has become more and more important financial investment behavior, and scholars at home and abroad have paid more and more attention to the research of venture portfolio theory. The portfolio of venture capital refers to the investment in the stochastic market through the expected return and risk measurement of the risk assets. The reasonable venture portfolio model provides a reasonable basis for investors to make investment portfolio decision, disperses the risk to a certain extent, and ensures the stability of income. Markowitz's mean-variance model is the foundation of modern portfolio theory and is the most widely used portfolio model by investment institutions, but in the mean-variance model, Markowitz's hypothesis makes the model have some limitations in the actual portfolio behavior, and because of the inconsistency between the model and the market environment, there will be a certain degree of deviation in the actual use of the model. Many scholars focus on the optimization and improvement of mean-variance model. In this paper, the current venture portfolio model and risk measurement tools are studied and analyzed. On the basis of Markowitz mean-variance model, VaR is used to replace variance, and the mean-VaR model is introduced. A portfolio decision model based on mean-VaR is established. According to the investment risk preference and considering the opportunity constraint, the mean-VaR venture portfolio model under the opportunity constraint is established and analyzed with an example. Considering that risk assets are not only included in the market environment, risk free assets are introduced on the basis of the final model and solved by application. The innovations of this paper are as follows: (1) the mean-VaR model is established with VaR instead of variance, which simplifies the mean-variance model under VaR constraint; (2) according to the actual market conditions, the existence of riskless assets is considered in the portfolio model. Make the application of the model more practical and extensive; (3) in view of the above model, through the establishment of expressions, discussed the uniqueness of the model solution, and elaborated the effective boundary of the model; (4) the introduction of empirical applications to verify the actual significance of the model, And through the empirical analysis, the lack of the model.
【学位授予单位】：北京邮电大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F224;F831.51
[Abstract]:With the booming development of financial industry, venture capital portfolio has become more and more important financial investment behavior, and scholars at home and abroad have paid more and more attention to the research of venture portfolio theory. The portfolio of venture capital refers to the investment in the stochastic market through the expected return and risk measurement of the risk assets. The reasonable venture portfolio model provides a reasonable basis for investors to make investment portfolio decision, disperses the risk to a certain extent, and ensures the stability of income. Markowitz's mean-variance model is the foundation of modern portfolio theory and is the most widely used portfolio model by investment institutions, but in the mean-variance model, Markowitz's hypothesis makes the model have some limitations in the actual portfolio behavior, and because of the inconsistency between the model and the market environment, there will be a certain degree of deviation in the actual use of the model. Many scholars focus on the optimization and improvement of mean-variance model. In this paper, the current venture portfolio model and risk measurement tools are studied and analyzed. On the basis of Markowitz mean-variance model, VaR is used to replace variance, and the mean-VaR model is introduced. A portfolio decision model based on mean-VaR is established. According to the investment risk preference and considering the opportunity constraint, the mean-VaR venture portfolio model under the opportunity constraint is established and analyzed with an example. Considering that risk assets are not only included in the market environment, risk free assets are introduced on the basis of the final model and solved by application. The innovations of this paper are as follows: (1) the mean-VaR model is established with VaR instead of variance, which simplifies the mean-variance model under VaR constraint; (2) according to the actual market conditions, the existence of riskless assets is considered in the portfolio model. Make the application of the model more practical and extensive; (3) in view of the above model, through the establishment of expressions, discussed the uniqueness of the model solution, and elaborated the effective boundary of the model; (4) the introduction of empirical applications to verify the actual significance of the model, And through the empirical analysis, the lack of the model.
【学位授予单位】：北京邮电大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F224;F831.51
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