本文關(guān)鍵詞：止損策略對雙隨機(jī)安全第一投資組合模型的影響研究　出處：《重慶大學(xué)》2014年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 證券投資組合理論 技術(shù)形態(tài) 止損策略 安全第一 果蠅算法

【摘要】：本文的主要研究內(nèi)容是證券投資組合理論，針對證券市場會重復(fù)出現(xiàn)某些技術(shù)形態(tài)以及投資者會采用止損策略這兩個現(xiàn)象，從如何確定股票收益率，如何建立合適的投資組合模型，如何設(shè)計(jì)高效的求解算法，止損策略如何對投資組合模型產(chǎn)生影響，如何確定止損策略的最優(yōu)止損點(diǎn)和止盈點(diǎn)這五個方面入手，運(yùn)用理論分析和定量分析相結(jié)合的方法做出了深入研究。主要研究內(nèi)容可概述如下： ①大量的理論和實(shí)踐表明，股票市場會重復(fù)出現(xiàn)某些技術(shù)形態(tài)，具有某些形態(tài)的股票容易上漲，具有某些形態(tài)的股票容易下跌。如果投資者能夠總結(jié)這些重復(fù)出現(xiàn)技術(shù)形態(tài)的規(guī)律并將其用于選擇股票，則可以提升其在股市的盈利表現(xiàn)。針對這一現(xiàn)象，，本文首先給出了一種新的量化股票收益率的方法并用雙隨機(jī)變量來描述股票收益率；隨后，在已有文獻(xiàn)的基礎(chǔ)上建立了雙隨機(jī)安全第一投資組合模型并設(shè)計(jì)了一種融合了雙重隨機(jī)模擬技術(shù)與遺傳算法的混合智能算法；最后，借助兩類數(shù)值例子驗(yàn)證了新模型和算法的有效性，并根據(jù)數(shù)值結(jié)果給投資者提出相應(yīng)的投資建議。 ②為了更好地求解雙隨機(jī)安全第一投資組合模型，本論文還設(shè)計(jì)了一種新的融合了LGMS-FOA算法和雙重隨機(jī)模擬技術(shù)的混合智能算法。首先，本文檢驗(yàn)了果蠅算法（FOA）求解復(fù)雜優(yōu)化問題的能力；隨后，在FOA算法的基礎(chǔ)上提出了LGMS-FOA算法；最后，將LGMS-FOA算法與雙重隨機(jī)模擬技術(shù)相結(jié)合得到了新算法，并將其與已有的算法進(jìn)行比較。 ③人們的投資過程包括兩部分，一是如何買入，二是如何賣出。然而研究賣出策略對投資組合模型影響的文獻(xiàn)很少。止損策略是一種非常有效的賣出策略，本論文首先研究了止損策略對雙隨機(jī)安全第一投資組合模型的影響；隨后，建立了一個帶有止損策略的雙隨機(jī)安全第一投資組合模型并設(shè)計(jì)了一種融合了LGMS-FOA算法與雙重隨機(jī)模擬技術(shù)的混合智能算法；最后，給出了一個數(shù)值例子以驗(yàn)證模型和算法的有效性。 基于以上研究，本文的結(jié)論如下： ①本論文用雙隨機(jī)變量來量化股票收益率，該變量可以很好地體現(xiàn)技術(shù)形態(tài)與投資者異質(zhì)性的特點(diǎn)；本論文建立的雙隨機(jī)安全第一投資組合模型既可以兼顧風(fēng)險(xiǎn)和收益，又可以適用于所有投資者，且數(shù)值例子也證明了本文模型和算法的有效性。 ②本文通過實(shí)驗(yàn)發(fā)現(xiàn)：已有的FOA算法不能很好地求解復(fù)雜優(yōu)化問題，原因是FOA算法存在一種非線性的候選解產(chǎn)生機(jī)制，正是這種機(jī)制限制了FOA算法求解復(fù)雜優(yōu)化問題的性能。為了克服FOA算法的缺陷，本文提出了LGMS-FOA算法，并從理論和實(shí)例兩個方面證明了LGMS-FOA算法要優(yōu)于FOA算法，同時(shí)，在求解雙隨機(jī)安全第一投資組合模型時(shí)，融合了LGMS-FOA和雙重隨機(jī)模擬技術(shù)的智能算法二也優(yōu)于融合了遺傳算法和雙重隨機(jī)模擬技術(shù)的智能算法一。 ③本文發(fā)現(xiàn)：止損策略會改變投資組合的比例，當(dāng)設(shè)置止損點(diǎn)和止盈點(diǎn)后，投資者需要根據(jù)止損點(diǎn)和止盈點(diǎn)來改變相應(yīng)的股票收益率，否則會造成投資組合模型失效。 ④在給定股票收益率以及風(fēng)險(xiǎn)和收益的條件下，選取合適的止損點(diǎn)和止盈點(diǎn)，止損策略的表現(xiàn)要優(yōu)于非止損策略。這是因?yàn)椴扇≈箵p策略的投資者關(guān)心的是股價(jià)超過止損點(diǎn)和止盈點(diǎn)的累計(jì)概率，而不再是更高的收益率，因而會采用新的資產(chǎn)組合比例。
[Abstract]:The main content of this paper is to study the securities portfolio theory, the stock market will be repeated in some form of technology and investors will use the two exit from the phenomenon, how to determine the stock returns, how to establish a suitable model for portfolio investment, how to design an effective algorithm, exit strategy how to affect the portfolio model, how to to determine which of the five aspects of the optimal exit stops and profit point, using the method of theoretical analysis and quantitative analysis combination made in-depth research. The main research contents can be summarized as follows:
Show that a lot of theory and practice, the stock market will be repeated in some form of technology, with some form of stock up easily, with some form of stock to drop. If investors can summarize these repeated form of technical rules and used to select stocks, can enhance the performance of the stock market profit for this. The phenomenon, this paper proposes a new method to quantify the rate of stock return and double random variables to describe the stock returns; then, on the basis of the existing literature established random safety first portfolio model and a hybrid intelligent algorithm combines dual stochastic simulation and genetic algorithm design; finally, with the help of two kinds of numerical examples verify the validity of the new model and algorithm, and according to the numerical results for investors to put forward corresponding investment advice.
In order to better solve the double random safety first portfolio model, this paper also designs a new hybrid intelligent algorithm combines LGMS-FOA algorithm and double stochastic simulation technology. Firstly, this paper examines the Drosophila algorithm (FOA) ability to solve complex optimization problems; then, based on the FOA algorithm is put forward LGMS-FOA algorithm; finally, the LGMS-FOA algorithm and the double stochastic simulation is obtained by combining the new algorithm, and compares it with the existing algorithm.
The people of the investment process includes two parts, one is how to buy, the two is how to sell. However, research on selling strategy influences the portfolio model very little literature. Exit strategy is a very effective selling strategy, this paper studied the effect of exit strategy of double random safety first portfolio model; then, the establishment of a stop loss strategy of double random safety first portfolio model and a hybrid intelligent algorithm combines the LGMS-FOA algorithm with dual stochastic simulation design; finally, the effectiveness of a numerical example is given to verify the model and algorithm.
Based on the above research, the conclusions of this paper are as follows:
The paper uses two random variables to quantify the stock returns, the variable characteristics of technology and the heterogeneity of investors is reflected in the double random; safety first portfolio model developed in this thesis can not only take into account the risks and benefits, and can be suitable for all investors, and numerical examples demonstrate the effectiveness of this model and the algorithm.
This paper through the experiments show that FOA algorithm can not have a good reason to solve complex optimization problems, FOA algorithm has a nonlinear candidate solution mechanism, is the performance of this mechanism limits the FOA algorithm for solving complex optimization problems. In order to overcome the defects of FOA algorithm, this paper proposes the LGMS-FOA algorithm, and prove the LGMS-FOA algorithm is superior to FOA algorithm, from two aspects of theory and practice at the same time, to solve the double random safety first portfolio model, the integration of LGMS-FOA and dual stochastic simulation intelligent algorithm is better than the two intelligent algorithm combined with genetic algorithm and double stochastic simulation technique.
Third, we find that the stop loss strategy will change the proportion of portfolio. When setting stop loss point and stop point, investors need to change the corresponding stock return rate according to stop loss point and profit point, otherwise, the portfolio model will fail.
In a given stock return and risk and return, select the appropriate stops and profit, stop loss strategy's performance to be better than non stop strategy. This is because investors take exit strategy is concerned with the cumulative probability of the stock price exceeds the stops and profit point, and is no longer a higher income it will use rate, proportion of new portfolio.

【學(xué)位授予單位】：重慶大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2014
【分類號】：F830.91;TP18

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