A股市场投资组合最优策略研究及实证分析.pdf

中文摘要 本论文首先介绍了三个经典的投资组合模型，接着分析我国证券市场的现 状，以及针对这种现状，我国相关学者对投资模型的优化改进以及所取得的成 绩；其次，本论文介绍了研究投资组合的基本方法和相关的数学理论，其中， 随机微分方程能较好的模拟股票的价格走势，是投资模型建立的基础；效用函 数则能较好的反映投资者对待风险的态度，是投资模型更加人性化的一种体现； 最优控制理论是求解模型的重要方法，最终能为投资者寻找到最优的投资策略； 第三章是本论文的核心，我们利用所介绍的相关数学理论建立投资组合模型， 并根据前面对我国A股市场的分析，确定相应的目标函数，然后对目标函数进行 求解，最后得到投资组合的最优投资策略；第四章给出了有关的实证分析，是 对上一章所求解得到的最优投资策略进行实际数据验证。具体做法是：我们在A 股市场上随机构建一个投资组合，从中信证券股票买卖软件上获取相应的数据， 代入模型并求得最优投资策略。研究表明了所构建的模型具有较好的实用性， 对实际投资活动具备一定的参考价值。 关键词：投资组合，目标函数，最优策略，最优控制理论 Abstract This paper first outlines the three classical portfolio theory, followed by the analysis of the status of our stock market, and based on the response to this situation, some of the optimal improvements and achievements of Chinese scholars. Secondly, this paper describes the basic methods and related mathematical theory on portfolio, in which, stochastic differential equations can be used to simulate the stock price movements and the basis of the investment model; the utility function is a very good response to investors attitude towards investment risk, and the investment model is more a reflection of humanity; the optimal control theory is an important method to solve the model, ultimately for the investors to find the best investment decisions. The third chapter is the core of this thesis based on the theory described in the relevant mathematical model of portfolio investment, and the previous analysis of A-share Market to determine the corresponding objective function, we choose the objective function, and obtain the optimal portfolio investment strategy. The chapter four provides some of the validated analysis. To solve the optimal investment decisions by using the actual data validation. Specifically, we choose