与TSD准则一致的组合证券投资分析

基于预先给定的目标收益率,利用投资者对低于目标收益率的风险损失和高于目标收益率的风险报酬之间的权衡,给出了一些非对称风险度量模型,特别其中一种风险度量是低于参考点的方差和高于参考点的方差的加权和,它利用二阶上偏矩来修正二阶下偏矩,进一步建立了在该非对称风险度量下的组合投资优化模型,并证明了该模型在三阶随机占优的意义下是有效的.此外,还给出了其它3个模型与三阶随机占优准则是否一致的结论,并对所给出的几个组合证券投资模型的求解方法及其应用进行了分析.以上研究和分析为投资者在选择投资模型时避免盲目性、任意性提供了有益的决策参考.     

模糊数在投资组合优化中的应用研究及实证分析

采用模糊数处理不确定性信息.以模糊期望收益率最大为目标函数,使总的风险不高于给定的模糊数,建立了一种新的模型.在给定的截集下,期望收益率转化为区间数,目标函数转化为对该区间数的下限求最大值.基于模糊数大小的概率比较,从而将模糊优化模型转化为不等式约束下的线性规划模型.利用Matlab编程可解得其最优解.最后通过实例分析,验证该模型的可行性.     

投资者看法差异与风险资产定价

股票市场中投资者的看法差异是否影响定价?将投资者之间由于信息不对称引起的看法差异和对称信息下由于信念异质引起的看法差异,纳入统一的一个理性预期模型,推导出基于信息性风险和异质信念下的风险资产定价模型,对几种不同来源性质的看法差异进行剥离并通过对均衡价格的比较静态分析证明了:由信息不对称造成的看法差异与投资者要求的预期收益率正相关,而由信念异质引起的看法差异与预期收益率负相关.这表明:投资者对逆向选择风险要求额外的风险贴水,而相反会忽视赢者诅咒风险,投资者的看法差异越大越会造成股票价格的高估.     

金融市场极端日收益数据的广义Pareto分布拟合

本文基于极值理论和方法建立了上证综合指数极端日收益率的广义Pareto模型,并利用所得的模型计算出日收益率的返回水平及其上尾概率。将估计的日收益率模型比较得出,在实施涨跌停板前,日收益率的上尾明显厚于实施涨跌停板后的上尾,说明了实施该制度可以有效的控制股票市场的投机现象,从而降低投资者的收益损失风险。     

两个安全第一思想模型的比较分析

针对投资者可能的投资需求确立了基于安全第一思想下两个相近的投资目标:1、极大化投资末期总收益率超过给定水平α的概率;2、极小化投资末期总收益率与给定水平α的距离.并分别就这两个目标建立了优化决策模型,得到了模型解析解,最后对两个模型结果进行了比较分析和经济解释.     

基于巨额损失波动性的最优投资决策研究

近年来伴随着金融市场广度与深度的不断拓展,频发的金融风险对世界经济及金融市场造成了巨大损失(如美国次贷危机),学者和投资者越来越关注规避小概率巨额风险的最优投资决策及有潜力风险资产遴选方法的研究.文章就此开展了如下研究:首先以损失超过VaR部分的条件期望CVaR作为投资者愿意承担风险的上限,改进投资预算约束为非紧约束,提出了基于巨额损失波动性的投资组合模型.数值试验验证了模型具有良好的收敛性,即使在生成较少数量的情景下也能快速收敛;当投资者对最低期望收益率要求不高时,不必全额投入预算资金就能满足投资者对预期收益的要求;随着投资者对最低期望收益率要求的提高,更多预算资金被投入可能带来更高收益的风险资产,资金预算约束逐渐趋于紧约束;模型给出的最优投资决策在样本外各滚动窗口测试中均实现了较高收益,但发生巨额损失的波动程度却显著降低,达到了控制小概率极端风险的目的.其次,结合常规基本面分析法和聚类分析技术,提出了风险资产的遴选方法.该方法适用于跨市场跨行业不同品种间风险资产的筛选,可兼顾同一类别内资产的同质性及不同类别资产间的异质性,以此达到分散化解风险的目的.实证研究表明,该方法遴选出的"少量"风险资产在各项评价指标上具有明显的优势,聚类技术的引入大大降低了投资者选择资产的难度.     

考虑投资者风险态度的随机模糊投资组合模型及实证

考虑投资者面临证券市场随机和模糊的双重不确定性,把证券收益率视为随机模糊变量。在前景理论下考虑投资者的风险态度,建立不同的随机模糊收益率、期望收益隶属度函数和目标权重,构建考虑投资者风险态度的随机模糊投资组合模型。采用实证方法把市场分为下降和上升两个阶段,研究不同风险态度投资者的投资组合差异及模型表现。结果表明:投资者的风险态度会影响投资组合的结构;考虑投资者风险态度的随机模糊投资组合模型,能够满足不同风险态度投资者对投资收益和风险的差异需求,且在实际投资决策中具有可行性。     

基于模糊系数的投资组合优化模型及其实证分析

采用模糊数处理不确定性信息．以模糊期望收益率最大为目标函数,使总的风险不高于给定的模糊数,建立了一种新的模型．在给定的截集下,期望收益率转化为区间数,目标函数转化为对该区间数的下限求最大值．基于模糊数大小的概率比较,从而将模糊优化模型转化为不等式约束下的线性规划模型．利用Matlab编程可解得其最优解．最后通过实例分析...     

基于多目标CVaR模型的证券组合投资的风险度量和策略

本文首先定义了多损失函数下的-αVaR,-αCVaR损失值以及-αCVaR损失值的等价函数,给出了多目标CVaR模型.然后,基于多目标CVaR模型,建立了一个多目标证券组合投资优化模型,得出在多置信水平下的证券组合投资比例和CVaR值,据此建立一种证券组合投资的降低风险优化模型.其降低风险策略是在收益率不变的情形下降低风险和总投资比例.数值实验表明,这种策略是可以通过明显地减少总投资比例来达到降低风险的目的.     

基于投资者心理的证券投资组合熵决策及应用研究

证券收益率是投资者在投资决策时考虑的重要指标.针对投资者因证券收益率的变化引起的投资心理变化,提出一种基于累积前景理论和熵理论的投资风险决策方法.首先把证券的历史收益率划分为若干个状态区间,将某证券落在某状态区间定义为该证券的状态;然后计算各证券状态的概率及熵值;再利用累积前景理论,将无风险利率作为投资者的目标参照点,计算各证券所有状态相对于参照点的"损益值",得出各证券所有状态的价值,并将各证券所有状态发生的概率转化为投资者的心理概率,计算出各证券所有状态下的前景值,进而得出各证券的累积前景值;最后建立一种度量各证券投资风险的决策模型来确定最优组合.选择沪市证券市场进行实证研究,验证了方法的可行性及有效性.     

Less is more: Increasing retirement gains by using an upside terminal wealth constraint

We solve a portfolio selection problem of an investor with a deterministic savings plan who aims to have a target wealth value at retirement. The investor is an expected power utility-maximizer. The target wealth value is the maximum wealth that the investor can have at retirement.By constraining the investor to have no more than the target wealth at retirement, we find that the lower quantiles of the terminal wealth distribution increase, so the risk of poor financial outcomes is reduced. The drawback of the optimal strategy is that the possibility of gains above the target wealth is eliminated.     

投资者情绪影响下资本资产定价的区制性研究——基于股票论坛发帖的情感分析

本文首先建立一个考虑投资者情绪的资本资产定价模型,研究发现,投资者情绪是资产定价的系统性因子且对其影响具有区制性(存在三个区制)。在此基础上通过仿真揭示投资者情绪对资产定价影响存在区制性的原因在于当投资者情绪增加时,最优组合超额收益受组合效应与情绪效应的综合影响。最后基于股票论坛发帖的情感分析构建投资者情绪指标,实证检验了本文的理论模型,并发现基于普通的线性回归模型得到的投资者情绪对股指超额收益影响,一方面会在投资者情绪处于第二区制内时将其对股指超额收益影响方向弄反,另一方面会在投资者情绪处于第三区制内时低估其增加导致的股指超额收益平均增加程度。     

Fuzzy portfolio model with different investor risk attitudes

We propose a fuzzy portfolio model designed for efficient portfolio selection with respect to uncertain or vague returns. Although many researchers have studied the fuzzy portfolio model, no researcher has yet attempted a behavioral analysis of the investor in the fuzzy portfolio model. To address this problem, we examined investor risk attitudes—risk-averse, risk-neutral, or risk-seeking behaviors—to discover an efficient method for fuzzy portfolio selection. In this study, we relied on the advantages of possibilistic mean–standard deviation models that we believed would fit the risk attitudes of investors. Thus, we developed a fuzzy portfolio model that focuses on different investor risk attitudes so that fuzzy portfolio selection for investors who possess different risk attitudes can be achieved more easily. Finally, we presented a numerical example of a portfolio selection problem to illustrate ways to address problems presented by a variety of investor risk attitudes.     

基于风险约束的套期保值模型及沪深300股指实证研究

提出利用风险价值VaR建立套期保值资产组合的风险约束.以套期保值资产组合收益最大为目标,以控制套期保值资产组合风险为约束,建立了基于风险约束的套期保值模型.该模型在有效控制风险的基础上,可以大幅提高套期保值资产组合的收益.对沪深300股指现货和期货的数据进行了实证分析,对比了现有研究的最小二乘((OLS)、向量自回归(VAR)、向量误差修正(VEC)三种模型以及本文建立的基于风险约束的期货套期保值模型.样本内检验结果表明,本模型比现有研究模型的收益有大幅提高,平均增加81.6%.同时并没有失去对风险的控制,与现有研究模型只有5.32%的差别.对于样本外检验,模型在控制风险和提高收益两个方面都要优于现有研究模型.模型比现有研究模型平均可提高收益21.4%,平均降低风险3.61%.     

An expected regret minimization portfolio selection model

Fuzzy portfolio selection has been widely studied within the framework of the credibility theory. However, all existing models provide only concentrated investment solutions, which contradicts the risk diversification concept in the classical portfolio selection theory. In this paper, we propose an expected regret minimization model, which minimizes the expected value of the distance between the maximum return and the obtained return associated with each portfolio. We prove that our model is advantageous for obtaining distributive investment and reducing investor regret. The effectiveness of the model is demonstrated by using an example of a portfolio selection problem comprising ten securities in the Shanghai Stock Exchange 180 Index.     

Merton problem in a discrete market with frictions

We study the classical optimal investment and consumption problem of Merton in a discrete time model with frictions. Market friction causes the investor to lose wealth due to trading. This loss is modeled through a nonlinear penalty function of the portfolio adjustment. The classical transaction cost and the liquidity models are included in this abstract formulation. The investor maximizes her utility derived from consumption and the final portfolio position. The utility is modeled as the expected value of the discounted sum of the utilities from each step. At the final time, the stock positions are liquidated and a utility is obtained from the resulting cash value. The controls are the investment and the consumption decisions at each time. The utility function is maximized over all controls that keep the after liquidation value of the portfolio non-negative. A dynamic programming principle is proved and the value function is characterized as its unique solution with appropriate initial data. Optimal investment and consumption strategies are constructed as well.     

通胀环境下股价波动率具有奈特不确定的最优消费与投资问题

本文在通胀环境和连续时间模型假设下,研究股票价格波动率具有奈特不确定对投资者的最优消费和投资策略的影响．首先在通胀环境和股票价格波动率具有奈特不确定的条件下,建立最优消费与投资问题的随机控制数学模型,得到了最优消费与投资所满足的HJB方程,并在常相对风险厌恶效用的情形下,获得最优化问题值函数的显式解．其次在通胀环境中当股价波动率具有奈特不确定时,得到了含糊厌恶的投资者是基于股价波动率的上界作出决策,并给出了投资者的最优投资和消费策略．最后在给定参数的条件下,对所得结果进行数值模拟和经济分析．     

Heston随机波动率市场中带VaR约束的最优投资策略

本文研究了Heston随机波动率市场下, 基于VaR约束下的动态最优投资组合问题。
假设Heston随机波动率市场由一个无风险资产和一个风险资产构成,投资者的目标为最大化其终端的期望效用。与此同时, 投资者将动态地评估其待选的投资组合的VaR风险,并将其控制在一个可接受的范围之内。本文在合理的假设下,使用动态规划的方法,来求解该问题的最优投资策略。在特定的参数范围内,利用数值方法计算出近似的最优投资策略和相应值函数, 并对结果进行了分析。     

Optimal consumption-leisure, portfolio and retirement selection based on α-maxmin expected CES utility with ambiguity

This article studies optimal consumption-leisure, portfolio and retirement selection of an infinitely lived investor whose preference is formulated by ??-maxmin expected CES utility which is to differentiate ambiguity and ambiguity attitude. Adopting the recursive multiplepriors utility and the technique of backward stochastic differential equations (BSDEs), we transform the ??-maxmin expected CES utility into a classical expected CES utility under a new probability measure related to the degree of an investor??s uncertainty. Our model investigates the optimal consumption-leisure-work selection, the optimal portfolio selection, and the optimal stopping problem. In this model, the investor is able to adjust her supply of labor flexibly above a certain minimum work-hour along with a retirement option. The problem can be analytically solved by using a variational inequality. And the optimal retirement time is given as the first time when her wealth exceeds a certain critical level. The optimal consumption-leisure and portfolio strategies before and after retirement are provided in closed forms. Finally, the distinctions of optimal consumption-leisure, portfolio and critical wealth level under ambiguity from those with no vagueness are discussed.     

On agglomeration in competitive location models

In this work a fuzzy multi-criteria model for portfolio selection is proposed which includes together with the classical financial risk-return bi-objective problem a new non-financial criterion. The proposed model will allow the analyst to offer the investor not only the financially good solutions but also some alternative solutions. In fact, the investor will be allowed to introduce in the model information about how far he or she is willing to go from the financially efficient portfolios knowing about the financial cost of these alternative solutions. A numerical example is presented in order to illustrate the proposed model. The social responsibility of the portfolio is considered as an additional secondary non-financial goal in the mean-variance portfolio selection model. Social responsibility is by its nature a vague and imprecise concept and will be handled by means of fuzzy set tools.