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Portfolio Selection Decision Based On Profit Satisfaction Degree And Risk Satisfaction Degree

Posted on:2005-06-10Degree:MasterType:Thesis
Country:ChinaCandidate:Z WangFull Text:PDF
GTID:2156360122988413Subject:Operational Research and Cybernetics
Abstract/Summary:PDF Full Text Request
Not only is the security market the place where enterprises can circulate necessary funds and reconstruct, but also it is the medium for lamp investment and the main source for the state revenue. Therefore, It has been the key part of the market economic system on China. Foreign learners have made deep research on the theory of security investment decision. However, since the security market in China is not mature. Speculative cases are still existing as well as with the low market efficiency, no satisfactory results can be got by directly applying the foreign portfolio investment model in China. Hence it is imperative to study and research out the investment decision method which can be suited to Chinese security market.This article introduces the cases or domestic and external securities investment theory. Firstly, it analyzes and evaluates basic theories and investment risk in detail. Secondly, based on profit satisfaction degree and risk satisfaction degree, this paper presents a new interactive method for portfolio selection. With a transformation, we transform equivalently this no-differentiable and bi-objective optimization problem to a linear program. The method can meet investor's subjective desire sufficiently. Under the hypothesis of transaction cost, It gets a balance between profit and risk while satisfying the lower bound value of investor's requirements, and designs a computer applied procedure. At last, using Shanghai stock exchange 30 stocks sample, we make an authentic analysis to the decision model of combinatorial deviation.
Keywords/Search Tags:portfolio, transaction cost, profit satisfaction degree, profit satisfaction degree
PDF Full Text Request
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