本文選題：模糊變量 + 投資組合優(yōu)化��； 參考：《蘭州理工大學(xué)》2017年碩士論文

【摘要】：人們?cè)谕顿Y中,考慮到要將風(fēng)險(xiǎn)分散,往往選擇不同的投資項(xiàng)目進(jìn)行投資;為了使投資的比重更加合適還需要對(duì)具體的投資資產(chǎn)做多元化的分配,伴隨這個(gè)問題,證券投資組合理論應(yīng)運(yùn)而生。由于在投資市場(chǎng)中,人們的大眾行為受思維和環(huán)境等因素的影響,而人的思維判斷具有一定的模糊性以及經(jīng)濟(jì)現(xiàn)象本身所具有的復(fù)雜性使得現(xiàn)實(shí)金融市場(chǎng)具有不確定性和模糊性,傳統(tǒng)的概率論方法下的投資組合模型已經(jīng)不能滿足現(xiàn)實(shí)市場(chǎng)的需求,理性的投資決策在滿足風(fēng)險(xiǎn)收益均衡的同時(shí)還需要考慮很多標(biāo)準(zhǔn)。因此,模糊方法比概率方法更適合表達(dá)真正金融市場(chǎng)的不確定性。本文基于經(jīng)典的均值-方差理論,模糊集的概念和可能性理論,運(yùn)用模糊方法來表達(dá)金融市場(chǎng)中的不確定性。在滿足投資者的最大收益和最小風(fēng)險(xiǎn)兩個(gè)愿望水平的前提下,假設(shè)收益率為模糊變量,從而得到相應(yīng)的模糊投資組合優(yōu)化模型。由于現(xiàn)實(shí)生活中的投資市場(chǎng)是復(fù)雜的、移動(dòng)的,在滿足風(fēng)險(xiǎn)收益均衡的同時(shí)還考慮很多其他因素,例如:交易成本,多元化程度等。對(duì)于資產(chǎn)具有相同投資期限的情況,在假設(shè)收益率為模糊變量的條件下考慮變動(dòng)市場(chǎng)的因素,建立了模糊投資組合優(yōu)化模型;在假設(shè)收益率為歷史收益率的線性組合模糊變量的條件下,建立了相應(yīng)的模糊投資組合優(yōu)化模型,并且均進(jìn)行了實(shí)例驗(yàn)證,與傳統(tǒng)的模型結(jié)果相對(duì)比,更符合現(xiàn)實(shí)的金融市場(chǎng)情況。對(duì)于資產(chǎn)具有不同投資期限的情況,假設(shè)資產(chǎn)的投資期限可能小于投資期數(shù)、也可能大于投資期數(shù),分別得出了相應(yīng)的財(cái)富表達(dá)式,并且給出了實(shí)例驗(yàn)證。
[Abstract]:In investment, people tend to invest in different investment projects in order to spread out the risks; to make the proportion of investment more appropriate, they also need to diversify the allocation of specific investment assets, along with this problem. Portfolio theory emerges as the times require. Because in the investment market, people's public behavior is influenced by factors such as thinking and environment, The fuzziness of human's thinking judgment and the complexity of economic phenomenon make the real financial market have uncertainty and fuzziness. The traditional portfolio model based on probability theory can not meet the needs of the real market. Rational investment decision can not only meet the risk and return equilibrium, but also need to consider a lot of criteria. Therefore, the fuzzy method is more suitable than the probability method to express the uncertainty of the real financial market. Based on the classical mean-variance theory, the concept of fuzzy set and the possibility theory, this paper uses the fuzzy method to express the uncertainty in the financial market. On the premise of satisfying the two desired levels of maximum return and minimum risk of investors, the fuzzy portfolio optimization model is obtained by assuming that the return rate is a fuzzy variable. Because the investment market in real life is complex and mobile, many other factors are considered, such as transaction cost, diversification degree and so on. For the case where the assets have the same investment term, the fuzzy portfolio optimization model is established under the assumption that the return rate is a fuzzy variable, and the factors of the changing market are considered. Under the condition that the return rate is assumed to be a linear portfolio fuzzy variable with historical rate of return, the corresponding fuzzy portfolio optimization model is established, and it is verified by examples, and compared with the results of the traditional model. More realistic financial market conditions. For the case where the assets have different investment periods, it is assumed that the investment period of the assets may be less than the investment period or the investment period may be larger than the investment period. The corresponding wealth expressions are obtained respectively, and an example is given to verify the results.
【學(xué)位授予單位】：蘭州理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.5;O159

【參考文獻(xiàn)】

相關(guān)期刊論文 前1條

1 張鵬;張衛(wèi)國;;多階段均值—半方差模糊投資組合決策研究[J];華南理工大學(xué)學(xué)報(bào)(社會(huì)科學(xué)版);2014年05期

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本文編號(hào)：1907806