本文關(guān)鍵詞： 組合分析理論 市場問題 組合投資問題 單項(xiàng)基金分離現(xiàn)象　出處：《北京工業(yè)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：金融經(jīng)濟(jì)學(xué)中的問題由來已久，每個(gè)人、每個(gè)經(jīng)濟(jì)實(shí)體幾乎每天都面臨著一個(gè)組合決策問題。面對(duì)現(xiàn)實(shí)生活中大量的不確定性因素，特別是近年來重大金融突發(fā)事件的發(fā)生以及金融變革中的諸多問題，導(dǎo)致金融經(jīng)濟(jì)領(lǐng)域的研究環(huán)境越來越復(fù)雜，而組合數(shù)學(xué)的主要應(yīng)用就是在各種復(fù)雜關(guān)系中找出最優(yōu)的方案。在考慮現(xiàn)實(shí)生活中存在的各種金融組合問題，采用組合計(jì)數(shù)理論、組合最優(yōu)化理論以及組合設(shè)計(jì)理論，分別研究市場中的組合問題，進(jìn)而揭示其在現(xiàn)實(shí)應(yīng)用中的意義。 論文主要基于對(duì)組合與金融基礎(chǔ)知識(shí)的研究，，進(jìn)而探討組合分析理論在市場中的應(yīng)用。具體包括：分析普通商品市場問題，利用組合計(jì)數(shù)方法，簡化市場問題求解過程中的證明；采用容斥原理，進(jìn)一步證明了Beach,s原始問題。對(duì)金融市場組合投資中的基本知識(shí)進(jìn)行研究，分析金融市場中組合投資優(yōu)化問題，根據(jù)馬科維茨均值方差模型，構(gòu)造了在允許賣空的假設(shè)下股票的組合模型，并進(jìn)行實(shí)例解析，幫助人們樹立正確的投資理念；從資本資產(chǎn)定價(jià)模型出發(fā)，運(yùn)用實(shí)例分析，探究組合證券券種選擇的基本方法，幫助人們正確選擇組合證券；分析套利定價(jià)模型的單因素模型，采用具體事例探究其在證券市場中的應(yīng)用，幫助人們正確選擇套利組合。詳細(xì)推導(dǎo)并證明了單項(xiàng)基金分離現(xiàn)象成立的充分必要條件，然后進(jìn)行實(shí)例分析，總結(jié)自己的結(jié)論。
[Abstract]:Long-standing problems in financial economics, each person, each economic entity almost every day facing a portfolio decision problem. To face the reality of life in a lot of uncertain factors, especially the problems in recent years, major financial events and financial reform, leading to financial and economic research in the field of environment more and more complex, the main application of combinatorial mathematics is to find the optimal solution in the complex relationship. In consideration of various combinations of financial problems exist in reality, using the combinatorial counting theory, optimization theory and design theory, study on combination of market respectively, and to explore its application in the real sense.
Study on the combination and the basic knowledge of financial papers is mainly based on the combination of theoretical analysis, and discusses the application in the market. Including: the analysis of the general commodity market, using a combination of counting method, a simplified proof of market in the process of solving problems; the principle of inclusion and exclusion, further proved that Beach, s of the basic knowledge of the original problem. The combination of financial market investment, analysis of investment combination optimization problem in the financial market, according to Markowitz mean variance model, constructed portfolio model under the assumption that the stock in short selling, and in the case analysis, to help people establish a correct concept of investment; starting from the capital asset pricing model, use case analysis, explore the basic method portfolio Quanzhong choice, help people choose the right portfolio; single factor analysis model, arbitrage pricing model, using specific examples. Its application in securities market helps people to choose Arbitrage Portfolios correctly. The necessary and sufficient conditions for the separation of single funds are derived and proved in detail. Then, an example is analyzed to summarize its conclusion.

【學(xué)位授予單位】：北京工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：O157;F830

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相關(guān)期刊論文 前2條

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本文編號(hào)：1452132