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大小:2.74 MB
页数:69页
时间:2019-03-02
《基于模糊收益率的均值-方差-混合熵投资组合模型分析》由会员上传分享,免费在线阅读,更多相关内容在行业资料-天天文库。
1、北京化工大学硕士论文thestockpriceandtheexchangerateofthehistoricaldata.3.Givefullconsiderationtothesecuritiesmarket’Srandomuncertaintyandfuzzyuncertainty,wemeasuretheportfolio’Sfutureriskbybothfuzzyvarianceandhybridentropy,thensolvetheMean·-VarianceHybrid··EntropyModelusingthem
2、ulti-objectivegeneticalgorithm.Weexamtheresultbythecumulativerateofweeklyreturnin2014,theresultsshowthatinthepremiseofholdingthestockforalongtime,theMean—VarianceHybrid-EntropyModelisbetterthanthetraditionalMean··VariancemodelandMean-·Entropymodelinthestabilityofearni
3、ngsandrisks.4.Accordingtotheimportanceoftheliquidityofthestock,andtheimpactofinvestors’subjectiveintentionwhenmakingtheinvestmentobjectives,weaddtheliquidityconstraintstoourMean-VarianceHybrid·EntropyModel,andsetallthetargetsasfuzzygoals,calculateandtestitwiththesames
4、ampledata.Theresultsimpliesthattheeffectofthemodelisdifferentfromtheoriginalmodel.Thisstudymaymakecontributiontothemeasurementofthereturnandriskinthestockmarket,theestablishmentandsolutionofportfolio,andwealsowanttogivesomepracticaladvicestotheinvestorsinthestockwithg
5、oodapplication.Keywords:riskmeasurement,fuzzyreturn,hybridentropy,portfolioIV目录第一章绪论⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯。11.1选题背景及意义⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯..11.2论文内容与创新点⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯..21.3论文主要框架⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯..31.4本章小结⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯
6、⋯⋯⋯⋯.42.1随机环境下的投资组合理论⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯.52.1.1Markowitz投资组合理论⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯52.1.2资本资产定价模型⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯92.1.3单指数模型和多指数模型⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯.102.1.4随机环境下的投资组合理论改进与发展⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯.112.2模糊环境下的投资组合理论⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯122.2.1模糊理论简介⋯⋯⋯⋯⋯⋯⋯
7、⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯.122.2.2模糊理论在投资组合领域的应用⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯.142.3熵及其在投资组合领域的应用⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯152.3.1信息熵⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯.162.3.2模糊熵⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯.192.3.3混合熵⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯.202.4投资组合模型方法⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯212.4
8、.1收益率的预测方法⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯.2l2.4.2投资组合模型求解方法⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯.262.5本章小结⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯.28第三章基于
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