本文關(guān)鍵詞：模糊投資組合優(yōu)化及應(yīng)用研究　出處：《哈爾濱工業(yè)大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 投資組合 市場(chǎng)摩擦 模糊決策 模糊可能性 區(qū)間數(shù)

【摘要】：金融市場(chǎng)充滿(mǎn)了不確定性，受到諸如：國(guó)內(nèi)外經(jīng)濟(jì)形式、經(jīng)濟(jì)政策、自身運(yùn)行規(guī)律、氣候、災(zāi)害等各種因素的影響，這使得投資者獲得的數(shù)據(jù)具有非常大的不確定性。對(duì)投資組合選擇問(wèn)題中的隨機(jī)不確定性問(wèn)題，研究者已經(jīng)通過(guò)應(yīng)用統(tǒng)計(jì)學(xué)中的均值、方差的方法加以了解決，在實(shí)踐中也發(fā)揮了重要的作用。然而，現(xiàn)實(shí)世界中，，尤其是在證券市場(chǎng)上，數(shù)據(jù)的不確定性也表現(xiàn)為模糊性，模糊現(xiàn)象大量存在。傳統(tǒng)的投資組合模型無(wú)論怎么變，都只用了統(tǒng)計(jì)學(xué)中的期望、方差解決了金融市場(chǎng)的隨機(jī)性問(wèn)題，而不確定性中的模糊性卻沒(méi)有得到解決，因此研究模糊環(huán)境下的投資組合決策正好可以解決這一問(wèn)題。 目前已經(jīng)有不少學(xué)者對(duì)模糊條件下的投資組合進(jìn)行了研究，運(yùn)用不同的理論將模糊性引入投資組合模型中，發(fā)現(xiàn)模糊性對(duì)投資組合可能會(huì)產(chǎn)生影響。本文在系統(tǒng)性的整理這些研究成果的同時(shí)，分別運(yùn)用模糊決策理論、模糊可能性理論、區(qū)間數(shù)理論，從對(duì)模糊性衡量的不同角度，研究了模糊決策投資組合、模糊可能性投資組合、區(qū)間數(shù)投資組合，并通過(guò)放寬市場(chǎng)無(wú)摩擦約束、改變決策變量等方式將這些模型進(jìn)行了進(jìn)一步的優(yōu)化。 本文還對(duì)這些模型通過(guò)變量替換和加權(quán)的方法轉(zhuǎn)化成線性模型，并分別運(yùn)用上證50指數(shù)中的樣本進(jìn)行了實(shí)證研究，研究的結(jié)果表明，考慮數(shù)據(jù)模糊性和市場(chǎng)摩擦的投資組合實(shí)用性更強(qiáng)，并且優(yōu)化后的模型能最大限度的反映出投資者的意愿，靈活性較強(qiáng)、應(yīng)用范圍更廣�？傊�，在理論上能拓展傳統(tǒng)投資組合的研究思路，實(shí)踐上能起到很好的指導(dǎo)價(jià)值。
[Abstract]:The financial market is full of uncertainty, which is influenced by many factors, such as domestic and foreign economic forms, economic policies, its own operating rules, climate, disasters and so on. This makes the data obtained by investors have great uncertainty. The stochastic uncertainty in portfolio selection problem has been solved by applying the mean and variance methods in statistics. It also plays an important role in practice. However, in the real world, especially in the securities market, the uncertainty of data is also shown as fuzziness. The traditional portfolio model, no matter how it changes, only uses the expectation in statistics, the variance solves the randomness of financial market, but the ambiguity in uncertainty is not solved. Therefore, the study of portfolio decision in fuzzy environment can solve this problem. At present, many scholars have carried on the research to the investment portfolio under the fuzzy condition, using different theories to introduce the fuzziness into the portfolio model. Find that fuzziness may have an impact on the portfolio. This paper systematically collates these research results, respectively using the fuzzy decision theory, fuzzy possibility theory, interval number theory. From different angles of fuzziness measurement, this paper studies the fuzzy decision portfolio, fuzzy possibility portfolio, interval number portfolio, and relax the market non-friction constraints. These models are further optimized by changing the decision variables. This paper also transforms these models into linear models by means of variable substitution and weighting, and carries out empirical research using the samples in the Shanghai Stock Exchange 50 Index, the results of which show that. Considering the fuzziness of the data and market friction, the portfolio is more practical, and the optimized model can reflect the wishes of investors to the maximum extent, flexibility is stronger, the scope of application is wider. In theory can expand the traditional portfolio research ideas, in practice can play a good guiding value.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F224;F830.91

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