Decision Making And Judging Research On Optimum Portfolio Under Different Risk Bias

The modern risk portfolio theory is developed rapidly in U.S A. after World War II, it is the foundation of the modern financial theory and the investment theory, mainly research on the maximization effect on the basis of weighing the income and risk. With the high-speed development of our country's economy, various kinds of financial companies and individuals expect to obtain profit through investment. But the classical portfolio model is too much rational, and it is very difficult to reflect investor's favoritism to the risk. So, this paper improves the optimum investment combination model and the method of the decision-making evaluation under different risk partiality based on the combinatorial theory of modern investment. According to the analyses of the demonstration, the effect is very good. The whole paper is divided into five chapters.The first chapter mainly introduces the background , the motive and the meaning of this subject, and briefly introduces some risk investments of theories and technologies.The second chapter discusses the portfolio theory of modern investment. Firstly, it discusses the effective front of the portfolio based on two securities, and it Before the investment portfolio discussing under investing in two kinds of securities conditions is valid Along,and prove it is effective investment portfolio as the change of the coefficient correlation causes variation tendency. And then to investing in n one kind of securities feelings Have analysed synthetically under the condition that allows the securities under the condition of selling short to make the composition and nature of the front up.Firstly, it is valid prefaceof portfolio in invest in two kinds of securities cases at first, with doing the introduction to, it explaines the variation tendency as the change of the coefficient correlation causes of effective investment portfolio. And then aimed to invest in n kinds of securities , it sell short terms securities to make the composition and nature of the front up to allow to analyse syntheticallyunder the situation.The third chapter alterates the problem of the existing multi-objective programming model, adding the factor that descripting risk, obtaining a quadratic programming model in the case of forbidding sell-out, and ameliorating the problem of portfolio investment theorem .It's one of the innovations of this paper.The fourth chapter presents an feasible descent direction algorithm to quadratic programming model based on trusting domain. The arithmetic passed the instance validation and it do good in convergence. It's also one of the innovations of this paper.Whether Chapter five is the best investor's scheme from above-mentioned algorithms still need judging. So this paper using the risk type level -analyze of correlation model, judge synthetically many indexes of every scheme, and get the optimum portfolio. This is also the innovation of this passage. Algorithm on decision making and judging is given at the same time, provide one integration algorithm , enable it procedure and easily to solve on the computer. The materials show up that nobody has done the work in this respect yet.