【摘要】：近年來經(jīng)濟發(fā)展飛速,國民生產(chǎn)總值呈不斷增長的趨勢,國民收入不斷的提高,居民收入在滿足消費性支出之外,投資性支出的比重逐漸增大。隨著銀行存款效益的下降和信托存款信譽危機的出現(xiàn),人們的思想越來越開放,更多的人選擇證券投資。同時,政府及相關(guān)機構(gòu)對證券市場機制的日益完善,證券投資在現(xiàn)實生活中越來越受到人們的重視,但是盲目的投資往往會使投資者經(jīng)受金錢上的損失,所以,如何進行有效的投資決策,盡可能的將投資損失降低到最小成為越來越多的人關(guān)注的問題。本文首先針對馬柯維茨模型和資本資產(chǎn)定價模型進行分析,模型中一些非現(xiàn)實意義的假設(shè)使其實用性降低,同時,提出采用實驗設(shè)計的方法對證券投資問題進行優(yōu)化分析;采用最基本的期望效用函數(shù)模型,通過均勻?qū)嶒炘O(shè)計進行模型優(yōu)化求解,并通過實證研究證明了方法的有效性;對有上、下界約束的混料實驗設(shè)計進行了分析研究,并以信噪比為衡量指標,進行了序貫實驗設(shè)計,在實證分析中,對前文的實例進行了序貫優(yōu)化,取得了更優(yōu)的實驗組合,證明了其可行有效性;采用了質(zhì)量工程理論中的質(zhì)量損失函數(shù)法進行穩(wěn)健性設(shè)計,將其與展望理論相融合,提出了投資組合分析的非對稱質(zhì)量損失函數(shù),以質(zhì)量損失函數(shù)最小化為目標,進行了實證研究,得到了最佳投資組合方案。實驗設(shè)計是一種對變量進行控制的方法,即控制自變量從而影響因變量,使其更加便于觀察計算,通過科學合理的安排實驗,大大減少了實驗次數(shù),降低實驗成本。實驗設(shè)計是實驗經(jīng)濟學中主要研究方法,隨著學科融合發(fā)展,逐漸被用于證券投資決策問題中,并收效顯著,經(jīng)中國學者的不斷研究和改進,形成了一套符合中國證券市場現(xiàn)狀的實驗方法,為國內(nèi)投資者提供了更多的依據(jù)。
[Abstract]:In recent years, the economy has developed rapidly, the gross national product (GNP) is increasing, the national income is constantly increasing, and the proportion of the investment expenditure is increasing in addition to the consumption expenditure. With the decline of the bank deposit efficiency and the credit crisis of the trust deposit, the people's thought is more and more open, and more people choose to choose. At the same time, the government and the related institutions are becoming more and more perfect in the securities market mechanism, and the securities investment has been paid more and more attention in the real life. But the blind investment often makes the investors suffer the loss of money. So, how to make effective investment decisions and minimize the loss of investment to the minimum is the more important. The more people pay attention to. This paper first analyzes the Markowitz model and the capital asset pricing model, and some of the non realistic assumptions make its practicability lower. At the same time, we propose an experimental design method to optimize the securities investment problem, and adopt the most basic expected utility function model. The uniform experimental design is optimized to solve the model, and the effectiveness of the method is proved by the empirical study. The experimental design of the mixture with upper and lower bound is analyzed and studied. The sequential experimental design is carried out with the signal-to-noise ratio as the measure index. In the empirical analysis, the sequential optimization of the previous examples is carried out, and the better experiments have been obtained. By combining the quality loss function method in the quality engineering theory and combining it with the prospect theory, the asymmetric mass loss function of the portfolio analysis is proposed, which aims at the minimization of the mass loss function, and the optimal portfolio scheme is obtained. The experimental design is a method of controlling the variable, that is to control the independent variable and influence the dependent variable and make it more convenient to observe and calculate. Through the scientific and rational arrangement of the experiment, the experiment design is the main research method in the experimental economics, and the experimental design is the main research method in the experimental economics. In the problem of investment decision, the effect is remarkable. After the continuous research and improvement of Chinese scholars, a set of experimental methods conforming to the current situation of China's securities market has been formed, which provides more basis for domestic investors.
【學位授予單位】：青島大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F224;F832.51

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