均值-方差准则下的最优投资组合.docVIP

PAGE PAGE 22 均值-方差准则下的最优投资组合 摘要：本文以马科维茨在1952年所提出的均值-方差准则在投资组合中的运用原理为基础，构建了三个改进模型来探究如何对组合资产风险进行有效分散。模型一主要是在确定的资产报酬率下，增加资产组合中资产数量，探究最小方差的变化情况。模型二在确定的风险水平下，增加资产组合中资产数量，探究最大资产组合均值的变化情况。而模型三根据投资者投资心态，构建了与资产组合中的均值方差都相关的目标函数，引入投资者风险偏好，探究了目标函数最大值与投资组合中资产数量的关系。本文收集了上海证券交易所上的12支股票的相关数据数据，包括收盘价，开盘日期，代码等，利用excel进行实证探究。结果发现在整个投资组合中资产的个数与最优的投资组合有着密切的关系。 关键词：最优投资组合；均值-方差模型；投资数量；协方差矩阵 The Bank Lending Channel of Monetary Transmission in China —Analysis Based on Heterogeneity Abstract:The whole paper is based on the principle of how the mean - variance criterion was applied in the optimal portfolio ,which was put forward by Markowitz in 1952 ,and three improved are constructed to explore how to disperse the risk of the whole portfolio effectively.The model 1 is mainly under the certain assets return rate ,while the number of assets in the portfolio increases,to see whether the minimum variance of the whole portfolio changes and how it changes.The Model 2 is under a certain level of risk ,while the number of assets in the portfolio increases ,to explore how the largest mean of the whole portfolio changes.According to the psychology of investors ,Model 3 construct a objective function which is related to the mean and variance of the portfolio ,and also introduce risk appetite of investors,then explores how the maximum value of objective function changes with the increase of the number of assets in the whole portfolio.This paper collected the dates of 12 stocks on the Shanghai Stock Exchange ,including closing price ,opening date,code etc, Using excel carries out empirical investment.The result of research found that the entire portfolio of assets and the optimal portfolio have a close relationship. Keywords: The optimal portfolio; The mean - variance model; Investment amount; Covariance matrix 一、引言 （一）研究背景与目的 随着我国经济持续增长，人民的生活水平与收入逐年提高，可供支配的个人财产也逐年增加，投资成了一个热门的主题。而且通货膨胀严重，经济泡沫越吹越大，人民币的实际购买力不断下降。如果不进行合理的投资，资产也会不断缩水。近几年来，中国的货币供应量超过了日本，美国，欧元区，成为了目前全球最大的“印钞机”。有效的投资，成为了当代人规避资产缩水实现增值保值的有效