【摘要】：投資市場是一個有人參與的復(fù)雜動態(tài)系統(tǒng),投資環(huán)境中充斥著眾多影響投資收益的不確定因素,包括市場隨機因素和投資者認知模糊因素。而風(fēng)險就是這些不確定性因素引進的。幾何平均產(chǎn)出比同時存在隨機不確定性和模糊不確定性的特點,在經(jīng)典的投資組合理論中,大都只考慮了單一的不確定性,本文綜合考慮了兩種不確定性統(tǒng)一作用下的總風(fēng)險,引入混合熵測度作為度量投資風(fēng)險的指標(biāo)�；旌响貜浹a了方差和Va R度量指標(biāo)的部分缺陷,可比較準(zhǔn)確地度量總的不確定性,而且增值熵能夠反映資產(chǎn)的增值速度。本文在度量幾何平均產(chǎn)出比的模糊不確定性時,將其視為一個三角函數(shù),利用馬爾可夫鏈方法預(yù)測,并利用混合熵和增值熵分別作為風(fēng)險和收益的度量指標(biāo),構(gòu)建了最小混合熵-最大增值熵投資組合模型,同時考慮了市場摩擦因素中的交易費用,通過模糊決策理論和優(yōu)化方法對模型進行求解。另外,為了反映不同風(fēng)險偏好特性水平的投資者對風(fēng)險的態(tài)度,又提出了一種加入風(fēng)險權(quán)重系數(shù)的新投資組合模型,擴大了模型的適用范圍。作為理論檢驗,隨機選取了最具代表性的滬深300指數(shù)中50支股票進行了實證研究。實證結(jié)果表明,對于風(fēng)險保守型投資者,本文提出的最小混合熵-最大增值熵投資組合模型能夠給出令人滿意的投資效果,具有一定的理論價值和現(xiàn)實意義;對于風(fēng)險進取型和中庸型投資者,按加入風(fēng)險權(quán)重系數(shù)后的最優(yōu)投資比例構(gòu)建投資組合,投資結(jié)果也十分令人滿意,但是對于保守型投資者,該模型給出的結(jié)果卻不夠理想,有待進一步改進。
[Abstract]:The investment market is a complex dynamic system in which the investment environment is full of many uncertain factors which affect the investment returns, including market random factors and investors' cognitive ambiguity. And risk is the introduction of these uncertainties. The geometric mean output ratio has the characteristics of both random uncertainty and fuzzy uncertainty. In the classical portfolio theory, only a single uncertainty is considered. In this paper, the total risk under the unified action of the two kinds of uncertainties is considered comprehensively. The mixed entropy measure is introduced as an index to measure investment risk. The mixed entropy makes up for some defects of variance and VaR, and can measure the total uncertainty more accurately, and the increment entropy can reflect the appreciation rate of assets. In this paper, when we measure the fuzzy uncertainty of geometric mean output ratio, we regard it as a trigonometric function and use Markov chain method to predict it. A portfolio model of minimum mixed entropy and maximum increment entropy is constructed, and the transaction cost in the market friction factor is considered. The model is solved by fuzzy decision theory and optimization method. In addition, in order to reflect the attitude of investors with different risk preference characteristics to risk, a new portfolio model with risk weighting coefficient is proposed, which expands the scope of application of the model. As a theoretical test, 50 stocks in the most representative CSI 300 index were randomly selected for empirical research. The empirical results show that the minimum mixed Entropy and maximum Value-Entropy portfolio model proposed in this paper can give satisfactory investment effect for risk conservative investors, which has certain theoretical value and practical significance. For venture enterprising and moderate investors, the investment portfolio is constructed according to the optimal investment proportion after adding risk weight coefficient, and the result is very satisfactory, but for conservative investors, the result is not satisfactory. Further improvement is needed.
【學(xué)位授予單位】：寧波大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2015
【分類號】：F830.59

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