【摘要】：投資對象——金融資產(chǎn)，是投資學(xué)理論研究的重點內(nèi)容。從研究角度來看，目前對金融資產(chǎn)的研究內(nèi)容分為定價理論、投資收益理論、風(fēng)險分析理論等。金融經(jīng)濟(jì)學(xué)是從風(fēng)險資產(chǎn)的收益表現(xiàn)形式的角度研究的金融資產(chǎn)，，它將風(fēng)險資產(chǎn)分為加和收益特征的風(fēng)險資產(chǎn)和倍乘收益特征的風(fēng)險資產(chǎn)，并分別推導(dǎo)出這兩種不同收益特征的風(fēng)險資產(chǎn)的收益水平和所要求的風(fēng)險溢價。而隨著金融市場的發(fā)展和不斷創(chuàng)新，金融產(chǎn)品收益的表現(xiàn)形式更為復(fù)雜，僅僅用單獨的加和收益特征和倍乘收益特征已經(jīng)不能夠準(zhǔn)確描述一項金融資產(chǎn)。本文是受金融經(jīng)濟(jì)學(xué)的啟發(fā)，也是從風(fēng)險資產(chǎn)收益表現(xiàn)形式的角度展開研究，本文將金融資產(chǎn)的收益模式擴(kuò)展到了加和收益和倍乘收益特征混合的模式，提出了直接混合模式、組合混合模式、概率混合模式三種新形式的風(fēng)險資產(chǎn)，并針對這三種形式的風(fēng)險資產(chǎn)分別推導(dǎo)出他們的收益、風(fēng)險、最優(yōu)投資比例、風(fēng)險溢價的數(shù)學(xué)公式，研究了同時具有加和收益和倍乘收益特征的風(fēng)險資產(chǎn)的投資組合問題。在此基礎(chǔ)上，本文也分別針對這三種新的收益模式列舉了三個計算實例，通過實例的計算和應(yīng)用過程介紹了本文理論公式的應(yīng)用和參數(shù)的計算過程，同時也側(cè)面的驗證了本文的一些理論結(jié)論。
[Abstract]:Financial assets, the object of investment, is the key content of the theoretical research of investment. From the perspective of research, the current research on financial assets is divided into pricing theory, investment return theory, risk analysis theory and so on. Financial economics is a financial asset which is studied from the point of view of the performance form of the return of the risk asset. It divides the risk asset into the risk asset with the characteristic of the sum income and the risk asset with the characteristic of multiplying the income. The return level and the required risk premium of these two kinds of risk assets with different income characteristics are deduced respectively. With the development and innovation of financial market, the form of financial product income is more complicated. It is no longer possible to describe a financial asset accurately by single additive and multiplicative characteristics. This paper is inspired by financial economics, but also from the perspective of the performance of risk asset returns. This paper extends the income model of financial assets to the mixed model of additive returns and multiplicative returns, and puts forward a direct mixed model. Combined mixed model and probabilistic mixed model are three new forms of risk assets, and the mathematical formulas of income, risk, optimal investment ratio and risk premium are derived for these three forms of risk assets. In this paper, we study the portfolio problem of venture assets with both additive returns and multiplicative returns. On this basis, this paper also enumerates three calculation examples for these three new income models, and introduces the application of the theoretical formula and the calculation process of the parameters through the calculation and application process of the example. At the same time, it also validates some theoretical conclusions of this paper.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F830.59;F830.91

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