本文關鍵詞： 信貸約束 背景風險 改進安全首要 投資組合　出處：《寧波大學》2012年碩士論文　論文類型：學位論文

【摘要】：投資組合優(yōu)化一直是金融領域人們津津樂道的話題之一。任何投資都是追求收益性的，正如我國社�；鹜顿Y，面對未來巨大的缺口，雖然必須保證投資的安全性，但更需要通過投資實現(xiàn)保值增值以滿足社會發(fā)展需求。如何在保障投資安全性的前提下提高投資收益已經(jīng)成為學術界關注的熱點和急需解決的話題。 改進安全首要思想以控制風險為立足點，強調投資安全性，預防極端損失發(fā)生，在此基礎上追求收益最大化。而近年來，，由次貸危機引起的全球金融危機的沖擊激起了人們關于信貸約束、背景風險與投資等風險因素的討論。因此，首先，本文在經(jīng)典安全首要思想的基礎上，通過對不同類型信貸需求投資者行為的分析，建立了只存不貸、只貸不存和有貸有存下的信貸約束的MSF模型。在限定概率下給定組合期望時，運用拉格朗日函數(shù)和庫恩-塔克條件對允許賣空時的模型進行求解，得出了模型最優(yōu)解的顯性表達式以及不允許賣空時最優(yōu)解的算法。接著，分別考慮了背景風險資產(chǎn)和金融風險資產(chǎn)收益相關與不相關的情況，建立考慮背景風險的MSF模型,運用同樣的方法對模型進行了求解。最后，利用我國資本市場歷史數(shù)據(jù)，對模型的解進行案例分析，在限定概率為10%的情況下，進一步分析不同經(jīng)濟因素對最優(yōu)投資組合的影響。 研究所得結論有：在限定概率下給定組合期望時，只存不貸的投資組合受無風險存款利率影響；只貸不存組合與貸款利率和銀行貸款限制比例有關；有存有貸組合受無風險存貸利差影響。在遭遇背景風險時，最優(yōu)投資組合取決于背景風險資產(chǎn)收益與金融風險資產(chǎn)收益相關程度大小。
[Abstract]:Portfolio optimization has always been one of the favorite topics in the financial field. Any investment is profit-seeking, just as China's social security fund is facing a huge gap in the future, although it is necessary to ensure the safety of investment. However, it is more necessary to maintain and increase the value of investment in order to meet the needs of social development. How to improve investment returns on the premise of ensuring the security of investment has become a hot topic and a topic of urgent need to be solved in academia. The primary idea of improving security is to control risk, emphasize the security of investment, prevent extreme losses, and pursue the maximization of income. In recent years, The impact of the global financial crisis caused by the subprime mortgage crisis has aroused people's discussion on credit constraints, background risks and investment. Based on the analysis of the behavior of investors in different types of credit demand, the MSF model of credit constraint with only saving, no saving and loan-only deposit is established. When the combination expectation is given under the limited probability, The Lagrangian function and Kuhn Tucker condition are used to solve the model when short selling is allowed. The explicit expression of the optimal solution of the model and the algorithm of optimal solution when short selling is not allowed are obtained. Considering the correlation and uncorrelation of background risk assets and financial risk assets, the MSF model considering background risk is established, and the model is solved by the same method. Finally, the historical data of China's capital market are used to solve the model. A case study is carried out on the solution of the model, and the influence of different economic factors on the optimal portfolio is further analyzed under the condition that the probability is limited to 10%. The conclusions of the study are as follows: when the combination expectation is given under the limited probability, the portfolio with only saving and not lending is affected by the risk-free deposit interest rate, and the loan-only non-deposit portfolio is related to the loan interest rate and the bank loan restriction ratio. The optimal portfolio depends on the degree of correlation between the return of background risk assets and the return of financial risk assets.
【學位授予單位】：寧波大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F830.9;F224

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