Optimization Model Based On The Risk Measure Of Portfolio Investment

The risk measure research is one of the most essential topics in the financial domain. It is also a very important part in the investment in securities. When they measure the income and the risk of the investment, the investors choose the securities assets according to their preference to the risk of investment. Therefore, the concept of the risk measure appears especially important in the research of the portfolio investment. In this thesis, according to the investors' different understandings of the risk, the optimized model and method of the portfolio investment that better accord with the minds of the investors are theoretically described. And the availability feasibility and practicability of the model and method are explained here by illustration, which enable the process of the investment in securities to be more flexible and closer to the reality.Briefly introduced in the first chapter are the essential concept of the portfolio investment and the research and development of the portfolio investment theory in and abroad. In addition, the structure and major work of this article are summarized here in Chapter One, too.Discussed in the second chapter are the advantages and disadvantages of the several existing risk measure models which base on the underneath (negative) deviation. In order to better portray the investors' feeling toward the undulation of the negotiable securities, we bring the negative influence the on (positive) deviation may have on the risk into the area of risk measure. Therefore, with the considering of the risk-free negotiable securities and the transaction costs, we construct a risk measure combination deviation model. And the practicability of the model is explained through some calculation and examples concerned.Stated in the third chapter is the linear programming model of single-objective portfolio investment and multi-objective portfolio investment under the condition that the yield and the loss rate are all interval numbers. In this model, we comprehensively consider the existence of the non-risk negotiable securities and the transaction costs. By introducing the risk preference coefficient and the optimized horizontal parameter of the objective function, we transfer the linear programming model of which the objective function are interval numbers into a deterministic parameter linear programming model to solve the problem. Then the investors are allowed to estimate the parameters according to their own risk preference degree and objective situation, thus to work out an effective investment plan under a corresponding situation.Based on the analysis of general disappointed model in the fourth chapter, the portfolio investment model that includes the transaction costs factor and allows short selling is presented. This model not only takes the loss into consideration by the time when the profit rate is less than expected, but also considers the significant profit by the time when the profit rate is more than expected, according to it ,we can avoid the disadvantages of the variance and down-side risk . Finally, we confirm the availability and practicality of our model through the simulative investment to six stocks of the Shanghai and Shenzhen Stock Market.