本文選題：證券組合　切入點：債券估價模型　出處：《華中師范大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：投資者投資可選擇債券、股票、外匯以及它們的組合進行投資,投資決策不同,其獲得的預(yù)期收益或者風(fēng)險不同,于是帶給投資者的滿意程度也就不同。所以投資者需要正確運用投資決策模型。如果要選擇正確的投資模型,首先必然充分認(rèn)識每個模型的適應(yīng)條件以及優(yōu)劣性。因而本文主要分析了債券估價模型,均值-方差模型,引入VaR約束的均值-方差模型,差分自回歸移動平均模型即ARIMA模型,廣義自回歸異方差模型即GARCH模型所適宜的環(huán)境以及優(yōu)劣性,并通過實例分析說明如何選擇投資模型。 投資者可以將全部資金投資于無風(fēng)險的債券,也可以全部資金投資于風(fēng)險證券,或可以在兩種投資之間合理分配。 本文第二章介紹的債券估價模型便適合于將資金全部投資于無風(fēng)險的債券的投資者。選擇該種投資方式的投資者是極度風(fēng)險厭惡的,這類投資者寧可選擇將所有資金投資于無風(fēng)險債券以獲得穩(wěn)定的較低的回報也不愿嘗試冒一點兒風(fēng)險去獲得高回報的機會。另外,本章給出了如何進行無風(fēng)險投資的一些例子。 第三章介紹了這樣的模型,它們適合于將資金投資于股票市場或者將資金在于股票市場和無風(fēng)險債券市場的投資者。這些模型基于投資組合理論,但適合于不同的金融市場環(huán)境,主要涉及到均值-方差模型,不允許賣空條件下的均值-方差模型。進一步,如果是投資者對風(fēng)險大小有一定的要求,投資者可選擇VaR約束的投資組合優(yōu)化模型。除此之外,本章的實證分析以及這些模型的優(yōu)劣分析會更加具體的幫助到投資者選擇證券的模型,以及具體應(yīng)用這些模型。 第四章介紹了當(dāng)投資者投資于外匯市場時,應(yīng)用時間序列分析預(yù)測模型,這些模型包括平穩(wěn)序列模型、ARIMA(p,d,q)模型和廣義自回歸異方差模型及其優(yōu)劣性。例如,雖然廣義自回歸異方差模型是較新的研究外匯風(fēng)險模型,但此模型稍顯復(fù)雜,而且并不是所有的匯率風(fēng)險預(yù)測都適合使用該模型進行分析。各類模型雖然適合于在本文論述的一類投資者,但是要合理運用他們?nèi)杂泻芏嗉s束條件。而且這些模型只在特定的環(huán)境下才是有效的。倘若投資者忽視模型分析的應(yīng)用環(huán)境和約束條件,非但不能獲得更高的投資報酬,甚至?xí)c自己的投資目標(biāo)相悖。
[Abstract]:Investors can invest in bonds, stocks, foreign exchange and their portfolios. Different investment decisions will result in different expected returns or risks. So investors need to use the investment decision model correctly. If you want to choose the right investment model, First of all, we must fully understand the adaptive conditions and the advantages and disadvantages of each model. Therefore, this paper mainly analyzes the bond valuation model, the mean-variance model, the mean-variance model with VaR constraints, and the difference autoregressive moving average model, that is, the ARIMA model. The generalized autoregressive heteroscedasticity model is the suitable environment for the GARCH model and its merits and demerits. An example is given to illustrate how to select the investment model. Investors can invest all their money in riskless bonds, or they can invest all their money in risky securities, or they can allocate it reasonably between the two investments. The bond valuation model introduced in the second chapter of this paper is suitable for investors who invest all their funds in riskless bonds. The investors who choose this type of investment are extremely risk-averse. This group of investors would prefer to invest all their money in riskless bonds to achieve a stable lower return rather than try to take a little risk to get a high return. In addition, this chapter gives some examples of how to make riskless investments. The third chapter introduces the models, which are suitable for investors who invest their money in the stock market or in the stock market and the risk-free bond market. These models are based on portfolio theory. But it is suitable for different financial market environment, mainly involves the mean-variance model, and does not allow the mean-variance model under the condition of short selling. Further, if the investor has certain requirements for the size of the risk, In addition, the empirical analysis of this chapter and the analysis of the advantages and disadvantages of these models will help investors to choose the model of securities, and the specific application of these models. Chapter 4th introduces the prediction models of time series analysis when investors invest in the foreign exchange market. These models include the stationary sequence model and the generalized autoregressive heteroscedasticity model and their merits and demerits, for example, the stationary sequence model and the generalized autoregressive heteroscedasticity model. Although the generalized autoregressive heteroscedasticity model is a relatively new model to study foreign exchange risk, it is a little complicated. Moreover, not all exchange rate risk forecasts are suitable for analysis using this model. Although all kinds of models are suitable for the class of investors discussed in this paper, But there are still many constraints to their rational use. And these models are effective only in specific circumstances. If investors ignore the applied environment and constraints of model analysis, they will not be able to get a higher return on their investment. It even goes against its own investment goals.
【學(xué)位授予單位】：華中師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F830.59

【共引文獻(xiàn)】

相關(guān)博士學(xué)位論文 前10條

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本文編號：1609999