金融市场风险管理及其优化算法研究-运筹学与控制论专业论文.docxVIP

RESEARCH RESEARCH ON FINANC认L MARKET RISK MANAGEN正NT AND ITS 0PTIMIZATION ALLGORJTHM ABSTRACT 111e risk of financial markets iS everywhere，If these risks Can not be solved probably,it will lead to much loss for financial institutions，this risk Can easily be found anywhere in our daily life．Because of the financial market risk is manageable，investors Can choose the appropriate risk management strategies and tools to avoid systemic risk．Investors Can take advantage of diversification， hedge to transfer and manage risk in financial markets．ne research content of this article is mainly use the diversification and hedging to manage financial market risk． First,investors use hedge to transfer risk in financial markets mainly use financial derivatives for hedging，to find the optimal hedging ratio．Based on this， This paper develop a futures hedging model based on the VaR under assumptions on the retum rates of the spot commodities and the futures with elliptical distributions，analyze the first order conditions for the optimal hedging optimization problem to document the existence of the optimal hedging strategies，and use the augmented Lagrangian algorithm to solving the model． Second，use diversification to transfer the financial market risk via build the best financial portfolio，and the choice of each portfolio otten involves the production of transaction costs．So the description of the transaction cost function and the measurement of the portfolio risk are the key points in the 万方数据 research research of the investor．Based on this，This paper develop a portfolio model with typical transaction cost based on CVaR，and use the Particle swarm optimization algorithm to solving the model． KEY WORDS：optimal hedging ratio；VaR；transaction cost function；CVaR； augmented Lagrangian algorithm；Particle swarm optimization algorithm 111 万方数据 目 目 录 第1章绪论 1 1．1研究背景和意义 ．1 1．2研究现状 ．2 1．2．1期货套期保值 一2 1．2．2交易成本 一3 1．3本文的主要研究内容及结构安排 ．．4 1．3．1本文的主要内容 一4 1．3．2本文的结构安排 。5 第2章基础知识 6 2．1投资组合理论 。6 2