【作者】 刘龙；

【导师】 施久玉；

【作者基本信息】 哈尔滨工程大学 ， 应用数学， 2007， 硕士

【摘要】 存在投资就会存在风险，风险和收益总是相伴而生的，因而风险分析与控制也就成为了金融投资领域所关注的两大主题。证券市场是金融市场的重要组成部分，它不但有金融市场的特征，而且也有自身的特点。证券投资风险源于市场内外各种因素的不确定性和价格的波动性，直接影响了证券投资的最终收益。因此，进行证券投资风险分析和控制，有着重要的现实意义。本文以证券投资风险为研究对象，针对国内外投资风险理论研究的不足，研究了证券投资风险分析与控制问题。在对证券投资风险的基本概念和本质属性全面系统的研究基础上，提出了新的证券投资风险的定义。从定量、定性以及定量定性相结合的角度进一步提出了证券投资风险的新测度指标。在新风险测度指标基础上，研究了证券投资组合与单个证券投资风险之间的关系。提出了最小风险点优化模型，理论分析表明此模型比传统的优化模型更为科学合理。本文深入研究了新风险测度指标下证券投资风险预测与控制问题，提出了以新风险测度指标为目标函数的资源配置优化模型，并给出了其求解方法。推导出了下偏矩(LPM)优化模型的转化形式，有效的克服了下偏矩模型中协方差矩阵的病态问题。并研究了基于本文提出的优化模型的风险控制问题。以上海证券交易所的历史数据进行了实证研究，证明了证券投资收益率的时间序列的平稳性和分布的非正态性特征。实证证明了本文的投资风险理论能有效地降低投资风险。更多还原

【Abstract】 Risk occurs when investment exists, just like the risk and income are always concomitant with each other. Thus risk analysis and control become two core subjects of the financial investment field. Securities investment market is an important component of the financial study field, which not only has the characteristics of the financial investment, but has its own specialties. Various uncertain factors inside and outside securities market, together with the fluctuation of the securities price, are the roots of securities investment risk, and the investment risk affects the securities income directly. Therefore, risk analysis and control of securities investment have great practical significance.Targeting on securities investment risk and contraposing the shortage of theoretical study about the investment risk in domestic and abroad, this paper studies the risk analysis and control problem. New definition of securities investment risk is proposed, which is base on the study of the essential attribute and the basic conception about securities investment. From the point of view about quantitative, qualitative and the combination of both, a new risk measurement index is proposed. The paper studies the relationship between investment portfolio risk and single securities investment risk. And then proposes optimal models for solving minimum risk points, which bases on system risk index. The theoretically analysis indicates that they can offer more scientific and more reasonable than the traditional methods.Based on new risk measure index, securities investment risk prediction and control were studied. This thesis offeres a resource allocation optimization model and its solution, of which objective function is the new measurement. Then this paper proposes a new easier solved transform of lower partial moment (LPM) optimization model, which proves can effectively overcome the problem of covariance matrix morbidity. Finaly based on the models mentioned above, the problem of risk forecasting and control was studied.Empirical study, based on the historical data of Shanghai stock exchange, proved that the income of securities investment time series has Stability and the distribution is Non-normality. The Empirical study also proves that the new securities investment risk theory can reduce the risk of investment in the process of risk analysis and control effectively.更多还原