本文關(guān)鍵詞： 投資組合 均值方差模型 單指數(shù)模型 熵　出處：《天津財經(jīng)大學》2012年碩士論文　論文類型：學位論文

【摘要】：經(jīng)濟全球化和金融一體化給各國的投資市場帶來前所未有的機遇的同時,投資風險也在隨之悄然增長。在這種復雜的金融背景下,如何增強自身抵御市場波動的能力,獲取較穩(wěn)定的收益,其根源在于使用合理的方式捕捉市場波動的規(guī)律,準確的度量投資中的風險。近年來迅速發(fā)展的墑理論,憑借其無需對分布做任何假設(shè)和可以表達變量多階矩的獨特性質(zhì),在眾多的投資組合風險度量方法中,受到越來越多的關(guān)注和應用。 本文在馬柯維茨均值——方差模型上,借鑒威廉夏普的單指數(shù)模型對風險分解的思想,將熵理論引入投資組合模型。依據(jù)熵的性質(zhì)將其分解為互信息熵和條件信息熵,分別用單個股票的互信息熵代表系統(tǒng)風險,單個股票的條件信息熵代表非系統(tǒng)風險。利用單指數(shù)模型中β系數(shù)的內(nèi)涵,對互信息墑進行加權(quán),使單個股票之間的熵具有可加性進而構(gòu)造投資組合的熵,作為投資組合的風險度量,建立了基于熵的投資組合模型,給投資者提供一種新的決策方式。 在此基礎(chǔ)上,本文選取上證50中表現(xiàn)較好的股票作為分析樣本,使用新模型來構(gòu)筑投資組合,并對比熵和方差在度量風險上的異同,得出了這兩種方式在衡量風險大小上具有基本一致性的結(jié)論。同時,對比了新模型與傳統(tǒng)均值——方差模型的有效前沿和投資比例,以驗證新模型的有效性。研究結(jié)果表明,在投資者期望收益率相同的情況下新模型的投資組合策略較之均值——方差模型更為簡潔,新模型只需為投資者提供較少的證券投資數(shù)量,就可達到與傳統(tǒng)均值——方差模型同樣的效果,這不僅節(jié)約了過度分散化給投資者帶來的交易費用和管理費用,而且也節(jié)省了信息資源,增強了投資者對信息的處理能力。
[Abstract]:Economic globalization and financial integration have brought unprecedented opportunities to the investment markets of various countries, while investment risks are also quietly increasing. In this complex financial background. How to enhance their ability to resist market fluctuations and obtain more stable returns is rooted in the use of a reasonable way to capture the laws of market volatility. In recent years, the theory of soil moisture, which has developed rapidly in recent years, has been widely used in portfolio risk measurement, because it does not need to make any assumptions about distribution and can express the unique properties of multi-order moments of variables. By more and more attention and application. Based on the Markowitz mean-variance model, this paper uses William Sharp's single-index model for risk decomposition. The entropy theory is introduced into the portfolio model, which is decomposed into mutual information entropy and conditional information entropy according to the properties of entropy, and the mutual information entropy of a single stock is used to represent the system risk. The conditional information entropy of a single stock represents the non-systematic risk. By using the connotation of 尾 coefficient in the single index model, the mutual information information is weighted to make the entropy of a single stock additive and then construct the entropy of the investment portfolio. As a measure of portfolio risk, a portfolio model based on entropy is established, which provides a new way for investors to make decisions. On this basis, this paper selects the better performance of Shanghai Stock Exchange 50 stock as the analysis sample, uses the new model to construct the portfolio, and compares the similarities and differences of entropy and variance in measuring risk. At the same time, the effective frontier and investment ratio of the new model and the traditional mean-variance model are compared. In order to verify the validity of the new model, the results show that the portfolio strategy of the new model is more concise than the mean-variance model when investors expect the same rate of return. The new model can achieve the same effect as the traditional mean-variance model by providing investors with a small amount of securities investment, which not only saves the transaction costs and management costs brought to investors by excessive decentralization. It also saves information resources and enhances the ability of investors to deal with information.
【學位授予單位】：天津財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F224;F830.91

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