發(fā)布時(shí)間：2018-06-06 20:41

  本文選題：在線(xiàn)算法 + 競(jìng)爭(zhēng)分析�。� 參考：《華南理工大學(xué)》2014年碩士論文

【摘要】：近年來(lái)，國(guó)家的鼓勵(lì)政策為擴(kuò)大進(jìn)口提供了堅(jiān)實(shí)基礎(chǔ)；同時(shí)，進(jìn)口國(guó)外先進(jìn)設(shè)備，對(duì)提升產(chǎn)業(yè)技術(shù)水平、增強(qiáng)產(chǎn)業(yè)自主創(chuàng)新能力都起到較大作用。但隨著經(jīng)濟(jì)日益全球化、投資資金緊缺及信息傳遞的加快，使得投資者對(duì)進(jìn)口設(shè)備的投資決策面臨著巨大壓力。因此，，基于進(jìn)口設(shè)備的在線(xiàn)投資研究對(duì)決策具有一定的指導(dǎo)意義。對(duì)于該問(wèn)題的處理，通常是采用貝葉斯方法，假定資產(chǎn)是一隨機(jī)變量，進(jìn)而建立一個(gè)精確的概率模型進(jìn)行研究。但由于市場(chǎng)的瞬息萬(wàn)變，很難刻畫(huà)出變量波動(dòng)的精確分布，即使得到精確的概率模型，也僅能給出概率意義上的平均最優(yōu)策略，對(duì)每次決策來(lái)說(shuō)極有可能給出一個(gè)離最優(yōu)策略相差甚遠(yuǎn)的結(jié)果。為彌補(bǔ)傳統(tǒng)決策理論的不足，本文在前人研究的基礎(chǔ)上，分析進(jìn)口設(shè)備是否投資、何時(shí)投資、采取何種方式投資、如何使投資資金最少等問(wèn)題，從投資者的風(fēng)險(xiǎn)偏好和各種預(yù)期等建立符合現(xiàn)實(shí)決策的在線(xiàn)模型，并通過(guò)競(jìng)爭(zhēng)分析給出最優(yōu)在線(xiàn)策略，進(jìn)一步豐富并完善現(xiàn)有的金融決策模型，為投資者提供客觀可行的投資方案。具體從以下幾個(gè)方面展開(kāi)： （1）建立了多策略選擇的進(jìn)口設(shè)備在線(xiàn)租賃模型。傳統(tǒng)的租賃問(wèn)題以經(jīng)典的“租雪橇”模型為基礎(chǔ)，只考慮純租賃和純購(gòu)買(mǎi)兩種策略，基于實(shí)際決策中投資方式是多種多樣的事實(shí)，進(jìn)一步考慮了投資者可選擇先付部分購(gòu)買(mǎi)費(fèi)用后以某一較低的租賃價(jià)格進(jìn)行租賃的策略。先分析了多策略選擇下的最優(yōu)離線(xiàn)策略；并運(yùn)用在線(xiàn)算法和競(jìng)爭(zhēng)比思想給出該問(wèn)題的確定性最優(yōu)在線(xiàn)策略；最后數(shù)值例子表明：在多策略選擇的問(wèn)題中，競(jìng)爭(zhēng)比性能隨著策略的不同而改變，多策略選擇對(duì)進(jìn)口設(shè)備的租賃決策具有顯著的影響。 （2）建立了通脹市場(chǎng)下進(jìn)口設(shè)備的風(fēng)險(xiǎn)補(bǔ)償在線(xiàn)租賃模型�？紤]到市場(chǎng)中設(shè)備的價(jià)格隨時(shí)間持續(xù)上漲的特征，研究了通脹市場(chǎng)中的租賃問(wèn)題在有利率情形下的策略，并建立相應(yīng)概率預(yù)期的風(fēng)險(xiǎn)補(bǔ)償模型。先運(yùn)用在線(xiàn)算法和競(jìng)爭(zhēng)分析理論設(shè)計(jì)了該問(wèn)題的最優(yōu)競(jìng)爭(zhēng)策略。接著，在風(fēng)險(xiǎn)補(bǔ)償競(jìng)爭(zhēng)分析框架下，進(jìn)一步討論該問(wèn)題，投資者可以控制風(fēng)險(xiǎn)，根據(jù)自己不同的風(fēng)險(xiǎn)容忍度和未來(lái)預(yù)期選擇補(bǔ)償最大的策略；也可以根據(jù)給定的補(bǔ)償收益約束選擇風(fēng)險(xiǎn)最小的策略。最后數(shù)值分析表明：基于概率預(yù)期的風(fēng)險(xiǎn)補(bǔ)償策略大大改善了該進(jìn)口設(shè)備租賃問(wèn)題的競(jìng)爭(zhēng)比性能。 （3）建立了通脹市場(chǎng)下的多進(jìn)口設(shè)備在線(xiàn)租賃模型�？紤]到隨著企業(yè)經(jīng)濟(jì)規(guī)模的擴(kuò)大，對(duì)設(shè)備的多臺(tái)需求也隨之增加，繼續(xù)在市場(chǎng)通脹的背景下分析多設(shè)備投資策略。先給出Karp經(jīng)典模型下多設(shè)備投資的最優(yōu)在線(xiàn)和離線(xiàn)策略；接著建立設(shè)備在連續(xù)可分情形下的最優(yōu)風(fēng)險(xiǎn)控制模型，并結(jié)合實(shí)際投資中設(shè)備必須以離散整數(shù)租賃的特點(diǎn)，對(duì)理論策略進(jìn)行調(diào)整，得到近似的最優(yōu)策略。最后的數(shù)值例子表明：當(dāng)物價(jià)指數(shù)逐漸增大時(shí)，最優(yōu)決策日期相應(yīng)提前，對(duì)應(yīng)的競(jìng)爭(zhēng)比也逐漸增大，說(shuō)明物價(jià)指數(shù)和多設(shè)備投資因素的引入對(duì)投資者的多進(jìn)口設(shè)備投資決策有著重要的影響。 （4）建立了基于外匯預(yù)期和人民幣期權(quán)組合的進(jìn)口設(shè)備投資資金的在線(xiàn)投資模型�？紤]到該進(jìn)口設(shè)備的租賃資金是需以外幣（如美元）進(jìn)行支付的，在匯率波動(dòng)幅度逐漸增加的大背景下設(shè)計(jì)了多策略組合的設(shè)備資金投資策略。先在Yaniv提出的外匯兌換模型的基礎(chǔ)上，對(duì)匯率波動(dòng)的上下界進(jìn)行風(fēng)險(xiǎn)預(yù)期，給出兩預(yù)期下投資的最優(yōu)保留價(jià)格。接著結(jié)合人民幣期權(quán)避險(xiǎn)理論，建立基于無(wú)期權(quán)費(fèi)用的外匯看漲風(fēng)險(xiǎn)逆轉(zhuǎn)期權(quán)組合的進(jìn)口設(shè)備投資資金兌換模型。最后給出基于外匯預(yù)期和人民幣期權(quán)組合的多策略資金兌換策略，并結(jié)合實(shí)際交易數(shù)據(jù)驗(yàn)證模型的有效性，表明了多策略組合的資金兌換模型能在一定程度上分散投資風(fēng)險(xiǎn)。
[Abstract]:In recent years, the state's incentive policy has provided a solid foundation for the expansion of imports. At the same time, importing advanced foreign equipment has played a major role in enhancing the technical level of the industry and enhancing the independent innovation ability of the industry. However, with the increasing globalization of the economy, the shortage of investment funds and the acceleration of information delivery make investors invest in imported equipment. Therefore, the research on online investment based on imported equipment has a certain guiding significance for decision making. The treatment of this problem is usually based on Bayesian method, assuming that the asset is a random variable and then a precise probability model is established, but it is difficult to describe the variable because of the fast changing market. The exact distribution of the fluctuation, even if the exact probability model is obtained, can only give an average optimal strategy in the probability meaning. It is very likely to give a result that is far away from the optimal strategy for each decision. In order to make up the shortage of the traditional decision theory, this paper analyzes the investment of the imported equipment on the basis of the previous research. In what way investment, how to invest, how to make the least investment funds and so on, establish an online model that meets the realistic decision from the investor's risk preference and various expectations, and give the best online strategy through competitive analysis, further enrich and improve the existing financial decision-making model, and provide an objective and feasible investment scheme for the investors. Specific from the following aspects:
(1) an online leasing model of imported equipment is set up. The traditional lease problem is based on the classic "renting sleigh" model, only considering two kinds of strategies, pure lease and pure purchase, based on the fact that the investment mode in the actual decision is a variety of facts. The strategy of leasing at a lower lease price. First, the optimal off-line strategy under multi strategy selection is analyzed, and the online algorithm and competition ratio idea are used to give a deterministic optimal online strategy. Finally, the numerical example shows that in the problem of Multi Strategy Selection, the competition performance is changed with the strategy, and the multi strategy is more different than the strategy. The choice has a significant impact on the leasing decisions of imported equipment.
(2) the online leasing model of risk compensation for imported equipment in the inflation market is established. Considering the constant rising of the price of equipment in the market, the strategy of the rental problem in the inflation market is studied under the interest rate situation, and the corresponding risk compensation model is set up. The online algorithm and the competition analysis theory are used first. The optimal competition strategy of the problem is designed. Then, under the framework of risk compensation competition analysis, the problem is further discussed. The investor can control the risk, choose the maximum compensation strategy according to the different risk tolerance and future expectation, and can also choose the least risk strategy according to the given compensation income constraint. The value analysis shows that the risk compensation strategy based on probability expectation greatly improves the competitive ratio performance of the imported equipment leasing problem.
(3) the online leasing model of multi import equipment under the inflation market is established. Considering the expansion of the enterprise economy, the demand for multiple equipment is also increased, and the investment strategy of multi equipment is analyzed under the background of market inflation. The optimal online and offline strategy of multi equipment investment under the classic Karp model is given. The optimal risk control model is prepared in a continuous and separable case. Combined with the characteristics of the discrete integer lease in the actual investment, the theoretical strategy is adjusted and the optimal strategy is obtained. The last numerical example shows that when the price index is gradually increased, the optimal decision date is earlier and the corresponding competition ratio is gradual. The increase indicates that the introduction of price index and multi device investment factors has an important impact on investors' investment decisions of multiple import equipment.
(4) an online investment model of imported equipment investment funds based on foreign exchange expectation and RMB option combination is established. Considering that the lease funds of the imported equipment are to be paid in foreign currency (such as US dollars), a multi strategy portfolio investment strategy is designed under the background of increasing exchange rate fluctuation. First, Yaniv is proposed. On the basis of the foreign exchange model, we anticipate the risk of the upper and lower bound of the exchange rate, give the optimal reserve price of the two expected investment, and then combine the RMB option hedging theory to establish an import investment fund exchange model based on the non option cost based risk reversal option combination. Finally, the foreign exchange based on foreign exchange is given. The Multi Strategy funds convertibility strategy is expected to be combined with the RMB option, and the validity of the model is verified with the actual transaction data. It shows that the fund exchange model of the multi strategy combination can disperse the investment risk to a certain extent.
【學(xué)位授予單位】：華南理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F752.61;F406.72;F426.4

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