Study On The Method Of Security Investment Optimization

In security investment, the return and risk are born together, but what is the essence of security investment return and risk, how to measure and really reflect their essence, and how to get the balance between risk and return. All of the above are the focuses that security investment field discussed.In 1952, Harry M. Markowitz put forward the portfolio selection theory initiately in Journal of Finance, which used Mean-Variance to study portfolio selection in capital market. The expected portfolio earnings are the prospective earnings that the assets make up for various kinds of possible situations. The portfolio risk is the mean squared departure of the possible payback, which we can use variance or standard deviation to measure. After that, William Sharpe put forward the famous capital assets price model (CAPM) based on Markowitz's Mean - Variance model. In 1976, Stephen A.Ross developed CAPM and initiated the arbitrage pricing theory (APT) which is a breakthrough. The studies on portfolio optimization in China are mostly based on the theoretical system of Markowitz's, which are the introduction, application and developing of the foreign theories.This dissertation proceeds from the research on the basic theories of security investment and probes into the essence of security investment return and risk. When we know all of that, we can study the method that we measure the return and risk, and propose the overall return and semi-variance to measure return and risk; Then we proposed the grey multiple objectives programming model based on the grey system theory. Finally, combined with the Chinese stock market, we carried on the positive research by selecting some stocks in Shanghai Stock Exchange.Concretely, this dissertation is divided into four parts mainly:First part, this dissertation has done the survey to the basic theories of security investment. First of all, we summarized the relevant concepts of security investment, and defined basic concepts, connotation, classification, attributes, the steps of investment and the types of security investment participants. After defining above-mentioned contents, we reviewed and researched on the essence and conception of security investment return and risk, and put forward the concepts of investment return and risk which accord more with investor's psychology and the real security investment which solved the past basic problems of return and risk while studying the security investment and established the foundation of the future investment measurement and optimization.Second part, we designed the method of measuring investment return and risk on the basis of definitude of the essence of security investment return and risk. To the measurement of security investment return, we adopted the overall income measurement through carrying on reasonable accounting adjustment to the existing income measurement. And we brought economic income into this kind of adjustment, thus formed the security investment return metering method here. In practice, we introduced the economic value added (EVA), and adjusted EVA to the revising rationally economic value added (EVA') .The measurement of the portfolio risk is set up on the basis of the thing that the security investment return is scientifically measured, so the semi-variance of ours is more scientific than the past risk measurements. Further more, it is a great opportunity to the application of semi-variance with the development of modern computing technology. The semi-variance risk measurement has...