Research On Portfolio Optimization Based On Grey Multi-objective Programming Model

With the rapid development of the economy,the securities investment market continues to grow like mushrooms,and a large number of enterprises and individuals invest in various securities.As an important part of the entire financial market,the securities market has assumed the important functions of optimizing the allocation of resources and the government's macro-control.However,the securities investment market is a market where risks and benefits coexist.It can bring returns to investors or outperform other investments,and may also expose investors to huge risks.How to choose the investment plan reasonably and make investors get the highest income within the acceptable risk range has become the hotspot of many scholars at present.Based on the empirical analysis of gray multi-objective programming model,this dissertation studies the optimization of securities investment portfolio.First of all,based on the previous research results,this paper clarifies the concept and connotation of securities investment,the meaning and value of securities investment,and summarizes the concepts and theories of securities investment portfolio,Which laid the theoretical foundation for the measurement and optimization of the return and risk of securities investment.Then,the gray system theory and the gray multi-objective programming model are combed.Combined with the current status of China's securities investment and securities investment portfolio objectives,a gray multi-objective programming model is proposed,Portfolio income and risk assessment of the applicability of the securities investment in the establishment of multi-objective programming model to complete the establishment of securities investment portfolio optimization model based on gray system theory.Finally,based on the data from China's stock market trading database and some data from the financial database of China's listed companies,gray multi-objective programming optimization model of securities investment is applied to data analysis,and a comprehensive measurement of return on securities investment and measurement of risk using semi-variance Methods The investment returns and risks of securities investment are precisely measured.The effective investment portfolio under different risk and return levels is calculated respectively through the model.The gray multi-objective optimization model of securities investment and the effectiveness of return and risk measurement methods are analyzed.Based on this,As the basis,the application scheme of gray multi-objective programming optimization model in securities investment portfolio is given.