發(fā)布時(shí)間：2018-12-17 19:37

【摘要】：投資者進(jìn)行金融投資的目的就是為了獲得利益，但利益總是伴隨著風(fēng)險(xiǎn)的。投資的風(fēng)險(xiǎn)和收益總是同漲同減的，所以一個(gè)投資者如果想在投資的過程中獲得較大的收益，，可以肯定的是，他進(jìn)行投資的風(fēng)險(xiǎn)也非常高，現(xiàn)在人們更加喜歡進(jìn)行分散化的投資，國外對(duì)于投資組合的研究趨于成熟，相對(duì)而言，國內(nèi)的研究相對(duì)落后。但是經(jīng)過國內(nèi)學(xué)者多年的努力，在投資組合領(lǐng)域已經(jīng)進(jìn)行了較大的突破。投資組合研究的先驅(qū)是馬克維茨的均值方差法，本文在其基礎(chǔ)之上進(jìn)行了較大的改進(jìn)，引入了現(xiàn)實(shí)約束條件，包括：中國股市的交易費(fèi)用、交易量限制、投資比例限制等，在此基礎(chǔ)上建立了動(dòng)態(tài)的GED-GARCH-VaR動(dòng)態(tài)投資組合調(diào)整策略，并用智能算法進(jìn)行了實(shí)例求解，驗(yàn)證了模型的有效性。 本文首先對(duì)國內(nèi)外投資組合模型的研究現(xiàn)狀、有關(guān)理論以及本文的研究方法和技術(shù)路線進(jìn)行了介紹，然后闡述了比較主流的投資組合模型風(fēng)險(xiǎn)度量方式，對(duì)其優(yōu)劣性進(jìn)行了比較，重點(diǎn)介紹了VaR方式。接著分析了中國股市的波動(dòng)性特征，并對(duì)處理波動(dòng)性的幾種常見方法進(jìn)行了介紹，并通過實(shí)例驗(yàn)證了選取模型對(duì)處理中國股市波動(dòng)性的有效性。本文對(duì)傳統(tǒng)投資組合模型的風(fēng)險(xiǎn)進(jìn)行了重新的定義，用在險(xiǎn)價(jià)值VaR值來度量組合風(fēng)險(xiǎn)，并將其擴(kuò)展到多期投資中，在文章最后選取了中國股市的真實(shí)數(shù)據(jù)，對(duì)模型的有效性進(jìn)行了檢驗(yàn)，并進(jìn)行了橫向和縱向比較。 本文采用了定量分析的方法，對(duì)改進(jìn)后的投資組合模型進(jìn)行了求解，由于考慮了交易中存在的實(shí)際問題，模型可以合理的反應(yīng)實(shí)際市場(chǎng)中的情況。
[Abstract]:The purpose of investor's financial investment is to gain profit, but profit always comes with risk. The risks and returns of investments are always rising and decreasing, so if an investor wants to make a larger return on the investment process, it is certain that the risk of his investment is also very high. Nowadays, people prefer to invest in diversification. The research on investment portfolio tends to be mature abroad, but the domestic research is relatively backward. However, through the efforts of domestic scholars for many years, there has been a great breakthrough in the field of portfolio investment. The forerunner of portfolio research is Markowitz's mean variance method. Based on it, this paper makes a great improvement and introduces practical constraints, including: transaction cost, trading volume limit, investment ratio restriction, etc. On this basis, a dynamic GED-GARCH-VaR dynamic portfolio adjustment strategy is established, and an intelligent algorithm is used to solve the problem, which verifies the validity of the model. In this paper, the current situation of portfolio model research at home and abroad, the related theory, the research methods and technical route of this paper are introduced, and then the mainstream portfolio model risk measurement method is expounded. The advantages and disadvantages are compared, and the VaR mode is introduced emphatically. Then it analyzes the volatility characteristics of Chinese stock market, introduces several common methods to deal with volatility, and verifies the effectiveness of the selected model in dealing with the volatility of Chinese stock market. This paper redefines the risk of the traditional portfolio model, uses the VaR value to measure the portfolio risk, and extends it to the multi-period investment. At the end of this paper, we select the real data of the Chinese stock market. The validity of the model is tested and compared horizontally and vertically. In this paper, the method of quantitative analysis is used to solve the improved portfolio model. Considering the actual problems in the transaction, the model can reasonably reflect the situation in the real market.
【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】：2013
【分類號(hào)】：F830.59;F224

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