本文關(guān)鍵詞：非賣(mài)空投資組合選擇問(wèn)題的增廣Lagrange函數(shù)方法　出處：《大連理工大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 均值-方差投資組合 增廣Lagrange函數(shù)方法 非賣(mài)空市場(chǎng) 摩擦市場(chǎng)

【摘要】：投資組合的選擇就是對(duì)金融資產(chǎn)進(jìn)行量化分析,建立數(shù)學(xué)模型,在一定的分析框架下.制定出一定風(fēng)險(xiǎn)水平下的具有最高收益的投資策略.非賣(mài)空均值-方差投資組合選擇問(wèn)題是金融數(shù)學(xué)中的一個(gè)非常重要的研究課題,在市場(chǎng)非賣(mài)空的限制下：面對(duì)瞬息、萬(wàn)變的金融市場(chǎng),投資者通過(guò)建立適當(dāng)?shù)臄?shù)學(xué)模型,借助統(tǒng)計(jì)學(xué)的方法和計(jì)算機(jī)的數(shù)據(jù)處理能力,來(lái)制定最優(yōu)的投資策略.非賣(mài)空的均值-方差投資組合模型是沒(méi)有顯示解的,很多優(yōu)化算法可以用來(lái)求解這類問(wèn)題,本文主要討論的是增廣Lagrange函數(shù)方法在求解一系列非賣(mài)空的均值-方差投資組合問(wèn)題中的應(yīng)用. 在本文的緒論部分,我們對(duì)投資組合選擇的相關(guān)問(wèn)題的研究背景和現(xiàn)狀做了簡(jiǎn)單的闡述.第二章我們將結(jié)合具體例子討論不同風(fēng)險(xiǎn)容忍度的投資者如何運(yùn)用增廣Lagrange函數(shù)方法.最大化投資組合收益.制定最優(yōu)投資組合策略.隨后我們對(duì)市場(chǎng)作了更細(xì)致的分析,第三章將在均值—方差分析的框架下,運(yùn)用極大極小準(zhǔn)則在最壞的情形下尋找最優(yōu)投資策略,然后運(yùn)用第二章中的增廣Lagrange函數(shù)方法求得數(shù)值解并結(jié)合具體的例子加以說(shuō)明.本文第四章將考慮市場(chǎng)的摩擦因素,在第三章模型假設(shè)的基礎(chǔ)上,引入了稅收和交易費(fèi)等摩擦因素,然后結(jié)合例子討論了在摩擦市場(chǎng)中的投資者是如何基于極大極小投資組合模型制定最優(yōu)投資策略.
[Abstract]:Portfolio selection is to make quantitative analysis on financial assets, the establishment of mathematical model, the analysis framework of certain. Make certain risk level with the highest income investment strategy. The non short mean variance portfolio selection problem is a research topic is very important in mathematical finance, non short selling in the market the limit: the face of rapidly, the financial market, investors through the establishment of an appropriate mathematical model, data processing method and statistical ability with the aid of computer, to make the optimal investment strategy. No short sale mean variance portfolio model is no display solution, many optimization algorithms can be used to solve this problem, this paper the main discussion is the application of augmented Lagrange function method of investment in solving a series of non short mean variance portfolio problem.
In the introduction part, briefly introduces the research background and current situation of related problems of our choice of portfolio. In the second chapter, we will discuss the different risk tolerance of investors how to use the augmented Lagrange function method. The maximum portfolio income. Develop optimal portfolio strategies. Then we make on the market more detailed analysis, the third chapter in the mean variance analysis framework, using the minimax criterion to find the optimal investment strategy in the worst case, then using augmented Lagrange method in chapter second to obtain numerical solution and combined with specific examples. The fourth chapter will consider the friction factors of the market. In the third chapter based on the assumption of the model is introduced, such as tax and transaction costs of friction factors, and then combined with the examples discussed in the frictional market investors is how The optimal investment strategy is formulated based on the minimax investment portfolio model.

【學(xué)位授予單位】：大連理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F830.59;F224

【二級(jí)參考文獻(xiàn)】

相關(guān)期刊論文 前1條

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本文編號(hào)：1362159