定义1对于恒正随机变量x，若e(lnx)存在，则称.docVIP

参赛队员：张可天 梁昊 学校：华南师范大学附属中学 省份：广东省 指导教师：黄毅文老师 叶巧卡老师 论文题目：金融投资中的复利期望模型 摘要： 数学期望在统计学中运用广泛，但在以复利为特点的金融投资领域，它并不适用。为有效地计算投资收益，评估投资机会的好坏，我们提出了复利期望模型，把“在长期投资的前提下，能够获得的具有可持续性的理论收益率”称为复利期望收益率。复利期望模型能够统一风险与收益两个概念，直接以最终的理论收益率来评价一个投资机会。 在定量研究部分，复利期望模型重点研究预期收益率分布符合正态分布时，投资者的最优化的资金配比策略以及最大化的复利收益率。我们还严谨地证明了理论上最优化的资金配比策略是唯一的，其模式也是固定的。 在预期收益率符合正态分布的前提下，我们利用复利期望模型推出了“预期投资收益率波动性的增加只会对最终的投资收益率带来负面影响”“复利期望必定小于数学期望”“相对投资收益率会随投资比例的增加而下降”等对实战投资很有帮助的重要结论。这体现了模型较高的应用价值。 复利期望模型在本文最后一部分被运用于探究分散化的意义——分散化的精髓并非分散风险，而是要提高资金的整体效率。当给定同一时间的若干投资机会时，我们可以使用编程的方法具体求解出最优化策略下对每个投资机会应该分配的资金比例。这样投资人就可以充分利用复利模型在实战投资中获得更高的长期收益了。 关键词： 数学期望 复利期望模型 正态分布 资金配比 最优化策略 风险与收益 分散化投资 资金效率 Abstract: It’s unwise to apply mathematical expectation to the area of financial investment, though it is widely used in statistics research. It is Compound interest that counts mostly in financial investment. In order to work out the investing proceeds and to evaluate the pros and cons of an opportunity, we put forward the model of compound expectation. The yield rate of the compound expectation is defined as “a sustainable and theoretical rate of return on the premise of long-term investment.” With the aid of this model, an investor can judge an investing project more easily, integrating its proceeds with risks, and directly appraise the investment opportunity with its final theoretical rate of return. When it comes to the quantitative study in the model of compound expectation, we put the major part under the assumption that the distribution of expected yield rate corresponds with normal distribution, trying to develop the optimum strategy of capital input and to calculate the maximum rate of return of compound expectation. We have also strictly proved that the theoretically optimization strategy of funds allocation is unique, with its pattern fixed. Further significance and application of the model of compound expectation is shown afterwards. Assumed that the distr