【摘要】：隨著金融行業(yè)的蓬勃發(fā)展,風(fēng)險投資組合成為越來越重要的金融投資行為,國內(nèi)外學(xué)者也越來越重視風(fēng)險投資組合理論的研究,風(fēng)險投資組合是指在隨機(jī)市場下通過對風(fēng)險資產(chǎn)的預(yù)期收益及風(fēng)險衡量進(jìn)行投資。合理的風(fēng)險投資組合模型給投資人在投資組合決策中提供了合理的依據(jù),一定程度上分散了風(fēng)險,保證了收益的穩(wěn)定性。馬克維茨的均值-方差模型是現(xiàn)代投資組合理論的奠基,是投資機(jī)構(gòu)使用最為廣泛的投資組合模型,但是均值-方差模型中,馬克維茨的假設(shè)使得該模型在實(shí)際的投資組合行為中具有一定的局限性,并且由于模型與市場環(huán)境的不一致性,導(dǎo)致在實(shí)際使用過程中會有一定程度的偏差,因此,眾多學(xué)者致力于對均值-方差模型的優(yōu)化與改進(jìn)。論文對當(dāng)前風(fēng)險投資組合模型以及風(fēng)險度量工具作出了研究與分析,在馬克維茨均值-方差模型基礎(chǔ)上,用VaR來代替方差,引入均值-VaR模型,建立基于均值-VaR的風(fēng)險投資組合決策模型,并根據(jù)投資風(fēng)險偏好,考慮到機(jī)會約束,建立機(jī)會約束下的均值-VaR風(fēng)險投資組合模型并應(yīng)用實(shí)例進(jìn)行分析�？紤]到市場環(huán)境內(nèi)并不是只包含風(fēng)險資產(chǎn),因此在最終模型的基礎(chǔ)上引入無風(fēng)險資產(chǎn),并通過應(yīng)用進(jìn)行求解。論文的創(chuàng)新之處在于:(1)用VaR代替方差,建立了均值-VaR模型,簡化了 VaR約束下的均值-方差模型;(2)根據(jù)實(shí)際市場情況,在組合模型中考慮到無風(fēng)險資產(chǎn)的存在,使得模型應(yīng)用更加實(shí)用、廣泛;(3)針對以上模型,通過建立表達(dá)式,討論了模型解存在的唯一性,并闡述了模型的有效邊界;(4)引入實(shí)證應(yīng)用,驗(yàn)證模型存在的實(shí)際意義,并通過實(shí)證分析,研究模型的不足。
[Abstract]:With the booming development of financial industry, venture capital portfolio has become more and more important financial investment behavior, and scholars at home and abroad have paid more and more attention to the research of venture portfolio theory. The portfolio of venture capital refers to the investment in the stochastic market through the expected return and risk measurement of the risk assets. The reasonable venture portfolio model provides a reasonable basis for investors to make investment portfolio decision, disperses the risk to a certain extent, and ensures the stability of income. Markowitz's mean-variance model is the foundation of modern portfolio theory and is the most widely used portfolio model by investment institutions, but in the mean-variance model, Markowitz's hypothesis makes the model have some limitations in the actual portfolio behavior, and because of the inconsistency between the model and the market environment, there will be a certain degree of deviation in the actual use of the model. Many scholars focus on the optimization and improvement of mean-variance model. In this paper, the current venture portfolio model and risk measurement tools are studied and analyzed. On the basis of Markowitz mean-variance model, VaR is used to replace variance, and the mean-VaR model is introduced. A portfolio decision model based on mean-VaR is established. According to the investment risk preference and considering the opportunity constraint, the mean-VaR venture portfolio model under the opportunity constraint is established and analyzed with an example. Considering that risk assets are not only included in the market environment, risk free assets are introduced on the basis of the final model and solved by application. The innovations of this paper are as follows: (1) the mean-VaR model is established with VaR instead of variance, which simplifies the mean-variance model under VaR constraint; (2) according to the actual market conditions, the existence of riskless assets is considered in the portfolio model. Make the application of the model more practical and extensive; (3) in view of the above model, through the establishment of expressions, discussed the uniqueness of the model solution, and elaborated the effective boundary of the model; (4) the introduction of empirical applications to verify the actual significance of the model, And through the empirical analysis, the lack of the model.
【學(xué)位授予單位】：北京郵電大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F224;F831.51

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