Investment Portfolio Model Of Large Central Enterprise Group And Its Application

The large central enterprise group,especially the oil company,has many assets(or projects).Traditionally,it usually uses expert scoring or leadership clapper and other subjective methods to invest in assets.In this way,there are various problems such as uneven distribution of assets,decision making mistakes,and so on.The portfolio model is the application of mathematical model to solve optimal portfolio problem of investor,and the investment results can reduce the influence of subjectivity.Therefore,in order to make the large central enterprise group assets investment can get the best portfolio and more scientific,this paper studies investment portfolio model of large central enterprises group and its application.The purposes of this paper are as follows:in order to make the leaders of the large central enterprise group grasp the risk level of the assets in general,the more precise scope of the risk of the simple weighted investment portfolio of the large central enterprise group is derived;in order to determine which conditions for the large central enterprise group's assets to meet that can directly use simple weighted or simple quadratic weighted to invest in these assets,several equivalent conditions of the simple weighted and the simple quadratic weighted portfolio as the optimal portfolio in the large central enterprise group are derived;in order to obtain the optimal portfolio of the large central enterprise group under a utility function,the single-objective portfolio model based on quadratic utility function in large central enterprise group is constructed and the optimal solution of the model is derived;in order to solve the portfolio problem between the different business segments and the stock incremental assets of the large central enterprise group,the mean-variance double-objective portfolio model based on business sector with business income constraints and the mean-VaR double-objective portfolio models with proportional definition are constructed;in order to solve the portfolio investment problem of multi-objective function in large central enterprises group,three types of multi-objective portfolio selection models of the large central enterprise group are constructed;in order to solve the investment problem of multi-period of the large central enterprise group,two kinds of multi-period portfolio models are constructed.(1)In order to make the leaders of the large central enterprise group grasp the risk level of the assets in general,the more precise scope(the upper and lower bounds)of the risk of the simple weighted investment portfolio of the large central enterprise group is derived,by risk scope,the leaders of the large central enterprise group can get approximate range of risk and do not have to build mathematical model to calculate portfolio risk;in order to determine which conditions for the large central enterprise group's assets to meet that can directly use simple weighted or simple quadratic weighted to invest in these assets,several equivalent conditions of the simple weighted and the simple quadratic weighted portfolio as the optimal portfolio in the large central enterprise group are derived,if the large central enterprise group's assets meet these equivalent conditions,the leaders can directly apply the simple weighted and the simple quadratic weighted portfolio to invest in these assets without having to establish a mathematical model.The two methods will simplify the modelling step and save the modelling time.(2)In order to obtain the optimal portfolio of the large central enterprise group under a utility function(quadratic utility function),the single-objective optimal portfolio model under the quadratic utility function is obtained by applying the algebraic theory and the rigorous mathematical deduction;then the optimal solution of the optimal portfolio model is obtained by applying the lagrange multiplier method;Finally,the case of the large central enterprise group is given,it shows that the model and the optimal solution are feasible.Under quadratic utility function,the leader can directly use the optimal solution to invest in the assets of large central enterprise group without having to establish a mathematical model,this also simplify the modelling step and save the modelling time.(3)The large central enterprise group usually contains multiple business sectors,which increase the difficulty of investment allocation,in order to solve the problem,the mean-variance double-objective portfolio model based on business sector with business income constraints is built;a specific example of the large central enterprise group shows that the model is very reasonable for investors,it provides a useful tool for investors to plan investment strategies;then,a comparative analysis is made on whether or not exist the total revenue constraint,the result of comparative analysis shows that in the mean-variance model,the increase of constraints in the mean-variance model will increase the risk of the unit income,which indicates that the leaders of the large central enterprise group should be cautious in increasing the constraint condition,rather than the more constraint condition,the better.Large central enterprise group has a large number of stock assets and incremental assets,which needs to solve the problemof rolling transformation between stock and incremental assets,so,in order to solve the problem,three kinds of optimal decision models based on the mean-VaR of stock assets and the incremental assets are established,these optimization decision models can determine the number of incremental assets;based on the remaining assets of the asset pool,mean-VaR portfolio models with proportional definition are established,the portfolio model can determine the investment proportion of assets;then concrete example of large central enterprise group shows that these models are effective;moreover,the boundary of the double-objective model is obviously slower than that single objective models;finally,the results of comparative analysis show that,these mean-VaR models with proportion constraint are more stable than these mean-VaR models without proportional constraint,so the leader of large central enterprise group should gives the investment proportion when making decision or portfolio,such,the optimal solution of this model will not fluctuate greatly.(4)Large central enterprise group usually has multiple objective functions,so it needs to solve the multi-objective portfolio problem,in the paper,three types of the multi-objective portfolio models of large central enterprise groups are established.One is the mean-standard deviation-skewness multi-objective portfolio model with three interval numbers,then in addition,for investors with different mental state,three different models have been proposed by defining aggressively,robustly and prudentially to solve the mean-standard deviation-skewness hybrid multi-objective portfolio problem,and under the same risk condition,the gain from prudential type less then the gain from robust type,the gain from robust type less then the gain from aggressive type.Two is the mean-variance-kurtosis multi-objective portfolio model with a defined investment ratio,then an algorithm to solve the multi-objective optimization model is proposed,and large central enterprise group example shows that the proposed model and algorithm are effective.Three is the mean-variance-VaR-skewnes-semi-entropy multi-objective portfolio model,then,the optimal solution of the model is obtained by using the example of large central enterprises group and using the heritage algorithm in MATLAB,and the comparison result shows that the performance of the model is better than that of the selected model.In this way,the above methods can be used to solve the multi-objective model.(5)Large central enterprise group will also consider long-term investment planning in the next ten or twenty years,which requires solving multi-period investment portfolio problem,so,two types of the multi-period portfolio models of large central enterprise groups are established.One is the multi-period portfolio model with maximum terminal wealth based on three interval numbers,then we give its three weakly optimal solution models,the concrete example of large central enterprise group shows that the three weak optimal solution models and the model we constructed are effective.Two is the VaR-kurtosis multi-period log-optimal portfolio model,then the existence and uniqueness of the optimal solution for the multi-period model are proved,and the comparison result shows that the VaR-kurtosis multi-period log-optimal portfolio model is superior to the single-period log-optimal portfolio model,so,in the long-term investment,the leader of large central enterprise group should apply multi-period model instead of single-period model,so that more benefits can be obtained.