考虑背景风险因素的可能性投资组合选择模型研究

发布时间：2018-01-10 20:10

本文关键词：考虑背景风险因素的可能性投资组合选择模型研究　出处：《华南理工大学》2013年博士论文　论文类型：学位论文

【摘要】：投资决策的核心问题是如何在众多金融产品中选择最优的组合进行投资。经典的投资组合模型根据投资者的风险厌恶程度将财富按一定比例在风险资产之间进行分配，以达到分散风险，确保收益的目的。经典的投资组合模型认为投资者在投资中只承受金融风险，而在实际的投资环境中投资者还要应对风险性非金融风险的影响。比如说，劳动收入、健康状况、持有房产等因素导致的风险（背景风险）。这些背景风险在金融市场上不能通过资产组合配置来分散，而它们的存在很大程度影响了投资者在金融市场中的投资行为，，进而使得投资组合问题复杂化。迄今为止，已有一些学者对考虑背景风险的投资组合问题进行了研究。而这些研究主要建立在随机理论基础之上，他们将资产组合的未来收益看成随机变量。然而现实的金融市场中存在许多非随机因素的影响，尤其在一个模糊的投资环境中，风险资产的收益表示为模糊数。因此考虑模糊不确定性的投资组合选择问题也是学术界研究的重要领域之一。本文结合以上两点，依据可能性理论对考虑背景风险因素的可能性投资组合选择问题进行了系统的分析和研究，建立了不同环境下考虑背景风险因素的可能性投资组合选择模型。并对考虑背景风险因素的投资组合及其可能性有效前沿进行深入剖析，加深人们对背景风险的认识。本文主要研究工作和创新包括下面四个方面：一、构建了基于背景风险偏好度的可能性均值-方差模型以及含流动性约束的双目标可能性MV模型，讨论了不同背景风险偏好度对投资组合风险及可能性有效前沿的影响。在分析现有的关于背景风险研究的现状基础上，以可能性理论为基础，将风险资产和背景资产的收益率均视为模糊变量，提出了基于背景风险偏好度的可能性均值-方差模型以及含流动性约束的双目标可能性MV模型。模型在现有研究成果的基础上考虑了边界限制、交易费用、流动性等现实因素对投资策略的影响。依据模糊集理论将风险资产和背景资产的收益率视为LR-类模糊变量，进而给出了两模型的具体表达式。然后，通过对比分析展示了不同背景风险偏好度下的可能性投资组合的有效前沿，探讨了流动性约束对具有背景风险的可能性投资组合的影响。实证表明：背景风险偏好度对投资组合风险和可能性有效前沿都有一定的影响。当给定的期望收益值相同时，背景风险偏好度越接近于1，投资者越偏好投资风险，其所承受的总风险越小，投资组合的可能性有效前沿向左上方移动。二、构建了具有VaR约束的模糊投资组合模型以及具有背景风险和风险价值的模糊投资组合模型，分析了置信水平和VaR直线的截距对最优策略的影响，进一步探讨了背景资产的均值和方差的变动对投资组合风险及可能性有效前沿的影响。首先，将随机不确定条件下的VaR约束推广到可信性测度下。并把可信性测度下的VaR约束和交易费用加入到模型中，分别建立了具有VaR约束的模糊投资组合模型以及具有背景风险和交易费用的模糊投资组合模型。其次，以风险资产和背景资产收益率服从钟形可能性分布的情况为例，分析了置信水平和VaR直线的截距对最优投资策略的影响，展示了背景资产的均值和方差不同取值下的投资组合风险及可能性有效前沿。实证表明：当具有背景风险和交易费用的模糊投资组合模型中的其它参数保持不变，背景资产的均值增大时，其可能性有效前沿向左上方移动，投资者所承受的总风险减小。保持模型其它参数值不变，背景资产收益率的方差增大时，其可能性有效前沿向右平移，投资者承受的总风险增加。三、给出了两个模糊数乘积的可能性均值、可能性方差和可能性协方差，构建了具有背景风险的国际投资组合选择模型。以可能性理论为依据，推导了两个模糊数乘积的可能性均值、可能性方差和可能性协方差。以此为基础，将汇率风险与背景风险同时引入到投资组合模型中。考虑到汇率的浮动性和不确定性，我们将汇率设为一个模糊变量，建立了具有背景风险的国际投资组合选择模型。对比分析了汇率风险和背景风险对投资决策的影响，给出了不同情况下的可能性有效前沿。实证结果表明：当给定的单位投资价值相同时，具有背景风险和汇率风险的投资组合风险更大。如果忽略对它们的考虑，投资者在投资中将低估投资组合风险，使其蒙受损失。四、构建了具有背景风险的可能性投资组合调整模型。已有的关于投资组合调整模型都认为投资者所面对的风险只有一种，即投资风险。这些研究没有考虑投资者的劳动收入、健康状况等背景风险的影响。针对这一点，我们在可能性投资组合基础上进一步地研究了具有背景风险的可能性投资组合调整模型，探讨了背景风险偏好度对投资组合调整策略的影响。实证显示：背景风险偏好度的变化影响着投资者的投资调整策略。当背景风险偏好度减小时，投资者所承受的背景风险增加，使得投资者在投资中的总风险增加，其可能性有效前沿向右下方移动。
[Abstract]:The core of the investment decision problem is how to select the optimal portfolio investment in many financial products. The classical portfolio model based on the investor's risk aversion wealth according to a certain proportion of the risky asset allocation between, in order to spread the risk, to ensure profits. The classical portfolio model that only investors bear the financial risk in investment, and in the actual investment environment for investors but also deal with the influence of risk of non financial risk. For example, labor income, health status, risk factors such as holding property (background risk). The background of risk in financial markets through portfolio allocation to disperse, and their presence greatly influence the behavior of investors in the financial market, thus making the investment portfolio problem. So far, there have been some scholars to consider back The portfolio problem of landscape risk is studied. These researches are mainly based on stochastic theory. They regard future returns of portfolio as stochastic variables.
However, there are many non random factors in the real financial market. Especially in a fuzzy investment environment, the return of risky assets is expressed as fuzzy numbers. Therefore, considering the fuzzy uncertainty of portfolio selection is one of the important fields in academic circles.
Based on the above two points, based on possibility theory is systematically analyzed and studied on the possibility of portfolio selection problem considering the background of risk factors, the possibility of portfolio selection model with risk factors was established according to the background environment. And in-depth analysis of portfolio efficient frontier and consider the possibility of background risk factors, deepen understanding on the background of risk. The main research work and innovation include the following four aspects:
A possibility to construct mean background risk preference model based on variance and with liquidity constraints and dual objective possibility of MV model, the influence of different background risk preference on portfolio risk and the possibility of the efficient frontier are discussed. After analyzing the existing background about risk research based on the current situation, on the basis of possibility theory the risk of assets and background, asset returns are regarded as fuzzy variables, the mean background possibility degree of risk variance based on the model with liquidity constraints and double target MV model. The model considers the possibility of boundary limitation in the existing research results on the basis of transaction cost, liquidity and other factors on the impact of reality investment strategy. On the basis of fuzzy set theory to risk assets and the background of asset returns as LR- fuzzy variables, and the specific expression of the two models are given. Then Then, through the comparative analysis shows the efficient frontier under different background risk preference of the possibility of investment portfolio, discusses the influence of liquidity constraints on the possibility of investment portfolio with background risk. Empirical evidence shows that: have a certain effect of background risk preference on portfolio risk and the possibility of efficient frontier. When given the expected profit value the same time, the background of the degree of risk is closer to 1, investors more investment risk appetite, total supported risk is small, the possibility of portfolio efficient frontier to move up and left.
Two, constructs the fuzzy portfolio model with VaR constraints and fuzzy portfolio model with the background of risk and risk value, analyzes the effect of intercept the confidence level and the VaR line of the optimal strategy, to further explore the influence of mean and variance of background changes to the asset portfolio risk and the possibility of efficient frontier at first. The stochastic uncertain VaR constraints is extended to the credibility measure. And the credibility measure under VaR constraints and transaction costs into the model, established fuzzy portfolio model with VaR constraints and fuzzy portfolio model with background risk and transaction cost. Secondly, the possibility distribution of the bell to obey for example in the background of risk assets and asset returns, analyzes the effect of intercept the confidence level and the VaR line on the optimal investment strategy, showing the background information Different values of the mean and variance of the portfolio risk and the possibility of efficient frontier. Empirical evidence shows that: when the other parameters of the fuzzy portfolio model with background risk and transaction costs in the assets remain unchanged, the mean background increases, the possibility of efficient frontier moves to the top left, the total risk of investors to decrease. The other model parameters unchanged, the background variance of asset returns increases, the possibility of efficient frontier to shift to the right, the total investment risk increased.
Three, given the possibility of mean two fuzzy numbers of the product, the possibility and the possibility of variance covariance, build international portfolio selection model with risk. The possibility of the background theory, derived the mean the possibility of two fuzzy numbers of the product, the possibility and the possibility of variance covariance. On this basis, the exchange rate risk and background risk at the same time is introduced into the portfolio model. Considering the floating exchange rate and uncertainty, we will exchange rate is set as a fuzzy variable, established the international portfolio selection model with background risk. Comparison and analysis of the impact of exchange rate risk and background risk on investment decisions, given the possibility of efficient frontier under different conditions. The empirical results show that: when the investment given the unit value of the same, with the background of risk investment portfolio risk and exchange rate risk more. If you ignore it To consider, investors will underestimate portfolio risk in investment and make them suffer.
Four, the possibility of constructing portfolio adjustment model with background risk. Has been on the risk investment portfolio adjustment model that investors have to face only one, namely investment risk. These studies do not consider the investor's labor income, affecting the health of background risk. At this point, we study the possibility of portfolio the adjustment model with background risk further in the portfolio on the basis of the background of risk preference on portfolio adjustment strategies. Empirical show: the background of the degree of risk affect the investment adjustment strategies of investors. When the background risk appetite decreases, investors bear the background risk increase, making the investors in the investment total risk increases, the possibility of efficient frontier of downward movement.

【学位授予单位】：华南理工大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F830.59;F224

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