本文選題：投資組合選擇 + 無風險保障系數(shù)��； 參考：《華北電力大學》2014年碩士論文

【摘要】：養(yǎng)老保險基金投資的目標是在可允許的風險下獲取盡可能高的收益。現(xiàn)代投資組合理論的核心問題是處理不確定性。經典的投資組合理論均將研究中涉及的不確定性視為隨機性來處理,然而,隨著行為金融學的發(fā)展,證券市場中的模糊不確定性也逐漸被人們所關注和認識。模糊理論及可信性理論隨之發(fā)展起來,并被運用到投資組合模型的研究建立當中。但模糊性理論和可信性理論在描述投資的主觀預期收益時都存在著一定的缺陷。清華大學劉寶碇教授在2007年提出了不確定測度,進而建立起了一套不確定性理論。許多學者在其基礎上進行研究,并將其應用于了投資分析中。本文利用不確定理論進行了不確定環(huán)境下的養(yǎng)老保險基金投資組合模型的研究。 首先,本文在不確定理論的框架下,考慮到養(yǎng)老基金投資時其安全性是首要的準則,針對無風險資產收益為保障整體投資組合達到預定收益目標值所起的類似安全防護網(wǎng)的作用,提出了無風險保障系數(shù)(Risk-free protection index,RFPI)。無風險保障系數(shù)可以度量在一定置信水平下,無風險資產收益為投資組合面臨的損失所提供的保障程度,因此可以衡量無風險資產收益對風險資產收益所起的保護作用。 進而,本文分別建立了基于無風險保障系數(shù)的不確定投資組合模型和雙目標無風險保障系數(shù)模型,并給出各自的具體計算步驟。隨后,對模型進行了熵優(yōu)化。每個投資組合模型既考慮到了投資組合整體收益的波動情況,又可以在一定水平的無風險資產收益保障的作用之上最大化投資期望收益,這為機構投資者進行投資組合的選擇提供了一種新的建模方法。 最后,通過算例分析,驗證了模型的實用性和可行性。并歸納了養(yǎng)老保險基金無風險保障系數(shù)投資組合模型的規(guī)律,具體如下：(1)隨著無風險保障系數(shù)的增大,投資于無風險資產的比例將隨之提高。(2)隨著無風險保障系數(shù)的增大,投資組合的總體期望收益率將逐漸下降。(3)隨著無風險保障系數(shù)的增大,投資組合的總體不確定在險價值(Value at Risk in Uncertainty,VaRU)將逐漸減小。(4)隨著無風險保障系數(shù)的增大,方差最初穩(wěn)定在臨界值處,但當風險保障系數(shù)繼續(xù)增大到一定程度以后,方差將逐漸降低。此外,通過與不加入無風險保障系數(shù)的模型進行比較,發(fā)現(xiàn)無風險保障系數(shù)模型在風險厭惡程度較高時可以得出更好的結果,驗證了本文提出的模型對于養(yǎng)老保險基金的適用性。
[Abstract]:The purpose of the pension fund investment is to obtain the highest possible return at allowable risk. The core problem of modern portfolio theory is dealing with uncertainty. The classical portfolio theory treats the uncertainty involved in the research as randomness. However, with the development of behavioral finance, the fuzzy uncertainty in the securities market is gradually concerned and recognized. The fuzzy theory and credibility theory have been developed and applied to the establishment of portfolio model. However, both fuzzy theory and credibility theory have some defects in describing the subjective expected return of investment. Professor Liu Bao Anding of Tsinghua University put forward the uncertainty measure in 2007, and then established a set of uncertainty theory. Many scholars have studied it and applied it to investment analysis. In this paper, the investment portfolio model of endowment insurance fund under uncertain environment is studied by using uncertainty theory. First of all, under the framework of uncertainty theory, considering the security of pension fund investment is the first criterion, In view of the role of riskless asset income as a similar safety protection net to ensure the overall portfolio to reach the target value of return, a risk free protection index is proposed. The risk-free security coefficient can measure the degree of protection that risk-free asset returns provide for portfolio losses at a certain confidence level, so we can measure the protective effect of risk-free asset returns on risk asset returns. Furthermore, the uncertain portfolio model based on risk-free security coefficient and the two-objective risk-free guarantee coefficient model are established in this paper, and their calculation steps are given. Then, the model is optimized by entropy. Each portfolio model not only takes into account the volatility of the overall return of the portfolio, but also maximizes the expected return on the basis of a certain level of risk-free asset income protection. This provides a new modeling method for institutional investors to choose their portfolios. Finally, the practicability and feasibility of the model are verified by an example. It also sums up the law of the risk free security coefficient portfolio model of the pension fund, which is as follows: 1) with the increase of the risk-free security coefficient, the proportion of investment in the risk-free assets will increase with the increase of the risk-free security coefficient, and the risk-free security coefficient will increase with the increase of the risk-free security coefficient. The overall expected return of the portfolio will decrease gradually.) with the increase of the risk-free security coefficient, the overall uncertainty of the portfolio will decrease gradually with the increase of the risk-free security coefficient, and the overall uncertainty of the portfolio will decrease gradually with the increase of the risk-free security coefficient. The variance is stable at the critical value at first, but when the risk protection coefficient continues to increase to a certain extent, the variance will gradually decrease. In addition, by comparing with the model without risk-free security coefficient, it is found that the risk-free security coefficient model can get better results when the risk aversion degree is higher. The applicability of the proposed model to pension funds is verified.
【學位授予單位】：華北電力大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F224;F840.61

【參考文獻】

相關博士學位論文 前3條

1 魏紅剛;下跌風險約束下的投資組合選擇研究[D];南開大學;2010年

2 陳國華;模糊投資組合優(yōu)化研究[D];湖南大學;2009年

3 秦中峰;金融模糊模型與方法[D];清華大學;2009年

，

本文編號：2015920