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Research On Dynamic Portfolio Model Based On GED-GARCH-VaR And PSO Model

Posted on:2014-02-01Degree:MasterType:Thesis
Country:ChinaCandidate:Y X YangFull Text:PDF
GTID:2269330401459304Subject:Management decision-making and system theory
Abstract/Summary:PDF Full Text Request
The purpose of financial investments is in order to obtain benefits, but the benefits arealways accompanied by risk. The risks and benefits of the investment is always the same upwith less, so if an investor want a larger income in the investment process, the investment riskis very high, so more and more investors like dispersed of investment. Foreign portfolioresearch is mature, but the domestic research is relatively backward. After years of efforts bydomestic scholars the portfolio research has a major breakthrough. The pioneer of portfolioresearch is Markowitz, he build mean-variance model. According to his model author build aimproved model based on real constraints, conclude transaction costs, trading volume, theinvestment ratio. The new portfolio adjustment strategy is based on GED-GARCH-VaRmodel, using intelligent algorithm instance to solve the problem in order to verify the validityof the model.Firstly,introduce the domestic and foreign portfolio model, the theory and the researchmethods and research roadmap were introduced. And then introduced some popular portfoliosrisk metric methods and compared the advantages and disadvantages, focuses on the VaRmethod. Thirdly analysised the cause of the volatility, and introduced several methods to dealwith the volatility, in the end verified the effectiveness of the new model. Fourthly, redefinedthe traditional portfolio model, use VaR to measure the risk, and extend it to a multi-yearinvestment. In the end author selected the real data of Chinese stock market to test the validityof the new model, and the horizontal and vertical comparison.In this paper, a method of quantitative analysis was used to solve the improved portfoliomodel. The model can be a rational response to the actual market situation because it took thepractical problems that exist in the transaction in to account.
Keywords/Search Tags:Portfolio, GARCH, VaR, Practical Constraints, PSO
PDF Full Text Request
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