本文選題：Markowitz模型　切入點(diǎn)：風(fēng)險(xiǎn)規(guī)避參數(shù)　出處：《廣東工業(yè)大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：近年來股票交易市場持續(xù)火熱,如此良好的投資背景下,如何有效地規(guī)避風(fēng)險(xiǎn),構(gòu)建合理科學(xué)的投資組合優(yōu)化模型是目前迫切需要解決的問題,受到政府以及廣大國內(nèi)外學(xué)者的關(guān)注和研究.目前投資組合優(yōu)化模型有馬科維茨(Markowitz)的均值方差模型、資本資產(chǎn)定價(jià)模型、套利定價(jià)理論(apt)等,并針對各種模型研究了多種求解算法.從近來A股市場的分析來看,馬科維茨理論對于大型基金和資產(chǎn)管理有一定的應(yīng)用價(jià)值.然而實(shí)際股票市場進(jìn)行交易都是在證券公司這個(gè)平臺上進(jìn)行的,所以交易費(fèi)用在實(shí)際的證券交易中所占比重還是不能忽略的[1],也就是說運(yùn)用馬科維茨理論的一個(gè)重要預(yù)設(shè)——不存在交易費(fèi)用,在解決證券交易市場投資組合問題就不適用了.本文在馬科維茨經(jīng)典理論的基礎(chǔ)上,針對它預(yù)設(shè)條件的弊端,建立了改進(jìn)后的更實(shí)用的資產(chǎn)分配優(yōu)化模型,并引入投資實(shí)例,用分區(qū)域多目標(biāo)進(jìn)化算法進(jìn)行求解.文章的具體工作為:首先引入風(fēng)險(xiǎn)規(guī)避參數(shù),提出了改進(jìn)的Markowitz模型,確立了兩個(gè)優(yōu)化目標(biāo),即收益最大化和風(fēng)險(xiǎn)最小化的多目標(biāo)優(yōu)化問題模型.在對證券交易市場交易費(fèi)用征收規(guī)定進(jìn)行深入研究后,以1手(100股)為單位,構(gòu)建了交易費(fèi)用函數(shù)并將它引入到改進(jìn)的Markowitz模型中,并結(jié)合實(shí)例,用各種函數(shù)和excel工具對證券數(shù)據(jù)進(jìn)行處理,并用分區(qū)域多目標(biāo)進(jìn)化算法對其進(jìn)行求解,得到了較為滿意的數(shù)值解.其次研究了加入無風(fēng)險(xiǎn)證券的含交易費(fèi)用的實(shí)用型資產(chǎn)分配優(yōu)化模型,改進(jìn)了相應(yīng)的約束條件,通過設(shè)定參數(shù)值,用分區(qū)域多目標(biāo)進(jìn)化算法編程求解,得到了和理論情形較為符合的投資結(jié)果.最后研究了在約束條件中加入0-1隨機(jī)變量的基數(shù)約束的含交易費(fèi)用的實(shí)用型資產(chǎn)分配優(yōu)化模型,并對投資比例上下界進(jìn)行分離限制,從而靈活約定投資項(xiàng)目數(shù)目,通過模型仿真,驗(yàn)證了此模型的設(shè)計(jì)初衷——均衡了投資的收益和風(fēng)險(xiǎn).
[Abstract]:In recent years, the stock market continues to be hot, so under such a good investment background, how to effectively avoid risks and build a reasonable and scientific portfolio optimization model is an urgent problem to be solved at present. The current portfolio optimization models include Markowitz Markowitz's mean variance model, capital asset pricing model, arbitrage pricing theory and so on. From the recent analysis of the A-share market, we have studied a variety of algorithms for solving various models. Markowitz's theory has some application value for large funds and asset management. However, the actual stock market trading is carried out on the platform of securities companies. Therefore, the proportion of transaction costs in actual securities trading can not be ignored [1], that is to say, using an important presupposition of Markowitz's theory, there is no transaction cost. On the basis of Markowitz's classical theory, a more practical optimization model of asset allocation is established based on Markowitz's classical theory, and an investment example is introduced. The specific work of this paper is as follows: firstly, the risk aversion parameter is introduced, an improved Markowitz model is proposed, and two optimization objectives are established. That is, the multi-objective optimization problem model of maximization of income and minimization of risk. The transaction cost function is constructed and introduced into the improved Markowitz model. Combined with an example, various functions and excel tools are used to process the securities data, and the multi-objective evolutionary algorithm is used to solve the problem. A more satisfactory numerical solution is obtained. Secondly, the practical asset allocation optimization model with transaction costs is studied, and the corresponding constraint conditions are improved. The multi-objective evolutionary algorithm is used to solve the problem, and the investment results are obtained, which are in good agreement with the theoretical results. Finally, a practical asset allocation optimization model with transaction costs is studied, in which the cardinality constraints of 0-1 random variables are added to the constraints. The investment ratio is restricted by the separation of the upper and lower bounds, and the number of investment projects is flexibly agreed. Through the simulation of the model, it is verified that the original intention of the model is to balance the income and risk of the investment.
【學(xué)位授予單位】：廣東工業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F830.91;F224

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