Research Of Stock Return & Risk Based On Grey System Theory

In security investment, the return and risk are born together, but what is theessence of investment return and risk, how to measure and really reflect their essence,and how to get the balance between return and risk. All of the above are the focusesthat security investment field discussed.Firstly, this dissertation has done the survey to the basic theories of securityinvestment. Secondly, We summarized the relevant concepts of security investment,and defined basic concepts, connotation, classification, attributes, the steps ofinvestment and the type of security investment participants. After definingabove-mentioned contents, we gave the concepts of investment return and risk andthe relationship between return and risk. Then, we designed the method of measuringinvestment return and risk on the basis of definitude of the essence of securityinvestment return and risk. At last we proposed the grey multiple objectivesprogramming model based on grey system theory.Combined with the Chinese stock market, we carried on the positive researchby selecting some stocks in Shanghai Stock Exchange. We got different results ofreturn and risk at different level of risk. Then, we compared the grey multipleobjectives programming model and Markowitz's Mean-Variance model. By usingExcel and SPSS, we processed and analyzed the data. By using MATLAB, wecomputed and checked the results from grey multiple objectives programmingmodel.As a result, we got the better results by using grey multiple objectivesprogramming model than that by Markowitz's Mean-Variance model and thebalance between the higher return and lower risk.