浅析投资的收益与风险问题
首发时间:2009-06-22
摘要:本论文主要讨论解决在组合投资问题中的投资收益与风险的相关问题。通过建立目标规划的数学模型,引入风险偏好系数,文章对所提出的问题进行了深入的分析,并进行了求解,使问题得到了较好的解决。在得出相关结论之后,本文考虑到各投资项目的投资上限对总利润的影响,因而对模型的灵敏度进行了分析,发现各项目的投资上限与目标值呈正相关。最后,我们在模型的改进中针对利润率及风险损失率的预测做了进一步讨论。
关键词: 双目标规划模型 风险偏好 MA(1)模型 ARMA模型
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Analysis of investment income and risk
Abstract:In this paper, we mainly discuss and resolve the problems in portfolio investment income and risk related issues. Through the establishment of a mathematical programming model and the introduction of risk factors, the article make an in-depth analysis on the issues raised. After drawing relevant conclusions, taking into account the impact of investment ceiling on on total profits, the model had a sensitivity analysis, we found the upper limit of the investment was positively correlated with the target. Finally, we make a further discussion of profitability and loss risk against the forecast of the improvement model.
Keywords: Bi-objective programming model Risk appetite MA (1) model ARMA model
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No.3331243149912456****
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