本文關(guān)鍵詞： 組合投資決策 穩(wěn)定分布 配方均勻設(shè)計(jì) 數(shù)據(jù)包絡(luò)分析　出處：《青島大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：試驗(yàn)設(shè)計(jì)是數(shù)理統(tǒng)計(jì)中的一個(gè)重要的分支,是關(guān)于試驗(yàn)與分析的統(tǒng)計(jì)理論,是進(jìn)行科學(xué)研究的重要工具。各種試驗(yàn)設(shè)計(jì)與數(shù)據(jù)處理方法,是以概率論、數(shù)理統(tǒng)計(jì)等數(shù)學(xué)理論知識(shí)為基礎(chǔ)的。本文介紹了均勻設(shè)計(jì)的理論以及配方均勻設(shè)計(jì)在證券組合投資決策中的應(yīng)用�！熬鶆蛟O(shè)計(jì)”比其他試驗(yàn)設(shè)計(jì)方法更適合于多水平數(shù)的試驗(yàn)設(shè)計(jì),它不但能減少試驗(yàn)的次數(shù),而且能保證試驗(yàn)點(diǎn)均勻地分散在整個(gè)試驗(yàn)范圍內(nèi)。經(jīng)過(guò)30多年的推廣和發(fā)展,均勻設(shè)計(jì)法已經(jīng)被廣泛地應(yīng)用于化工、醫(yī)藥、電子、生物、軍事工程、食品、社會(huì)經(jīng)濟(jì)等諸多領(lǐng)域,并取得了顯著的經(jīng)濟(jì)和社會(huì)效益。 隨著中國(guó)經(jīng)濟(jì)的飛速發(fā)展,居民的收入水平有了顯著的提高,可支配收入在收入中的比重越來(lái)越大,人們的理財(cái)觀念也越來(lái)越強(qiáng)。為了獲得經(jīng)濟(jì)收益,人們將剩余收入投入到證券市場(chǎng)中,而為了分散風(fēng)險(xiǎn),人們構(gòu)建投資組合進(jìn)行分散化投資。這就需要投資者具有良好的投資決策和投資方法,盡可能地將投資失誤減少到最低。應(yīng)用最廣泛的是馬柯維茨的均值-方差模型,但是它的一個(gè)前提是假設(shè)證券市場(chǎng)的收益率服從正態(tài)分布。本文針對(duì)證券收益率具有的“高峰厚尾”現(xiàn)象,提出了基于穩(wěn)定分布的組合投資模型,應(yīng)用配方均勻設(shè)計(jì)工具給出組合投資問(wèn)題的試驗(yàn)設(shè)計(jì)方法,并用數(shù)據(jù)包絡(luò)分析方法對(duì)各個(gè)組合投資方案的效率進(jìn)行評(píng)價(jià),給出最優(yōu)的投資決策。最后通過(guò)實(shí)例驗(yàn)證了模型的可行性。 均勻設(shè)計(jì)作為一種重要的試驗(yàn)設(shè)計(jì)方法,是我國(guó)獨(dú)創(chuàng)的。將試驗(yàn)設(shè)計(jì)運(yùn)用于我國(guó)證券市場(chǎng)組合投資的決策中,不必假設(shè)證券市場(chǎng)的收益率服從于正態(tài)分布,這不僅更適合于證券市場(chǎng)的實(shí)際,還能夠更好地指導(dǎo)投資者進(jìn)行投資,不但具有一定的理論價(jià)值,而且具有重要的現(xiàn)實(shí)意義。
[Abstract]:Experimental design is an important branch of mathematical statistics. It is a statistical theory about experiment and analysis, and an important tool for scientific research. All kinds of experimental design and data processing methods are based on probability theory. This paper introduces the theory of uniform design and the application of formula uniform design in portfolio investment decision. "uniform design" is more suitable for multi-water than other experimental design methods. The experimental design of the flat number, The uniform design method has been widely used in chemical, pharmaceutical, electronic, biological and military engineering after more than 30 years of promotion and development. Food, social and economic fields, and achieved significant economic and social benefits. With the rapid development of China's economy, the income level of residents has been significantly improved, the proportion of disposable income in income is increasing, and people's financial management concept is becoming stronger and stronger. People put the rest of their income into the securities market, and in order to diversify risk, people build portfolios to diversify their investments, which requires that investors have good investment decisions and methods. Minimize investment errors as far as possible. The most widely used is Markowitz's mean-variance model. But one of its presuppositions is that the return rate of the securities market is assumed to follow the normal distribution. In this paper, a portfolio investment model based on stable distribution is proposed in view of the "peak and thick tail" phenomenon of the security yield. The experimental design method of portfolio investment problem is given by using the formula uniform design tool, and the efficiency of each portfolio investment scheme is evaluated by data envelopment analysis method. The optimal investment decision is given. Finally, the feasibility of the model is verified by an example. As an important experimental design method, uniform design is original in our country. It is not necessary to assume that the return rate of the securities market follows the normal distribution when the experimental design is applied to the portfolio investment decision of our country's securities market. This is not only more suitable for the reality of the securities market, but also a better guide for investors to invest, which not only has certain theoretical value, but also has important practical significance.
【學(xué)位授予單位】：青島大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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