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Study Of Dynamic Portfolio Selection Model In Uncertain Environment

Posted on:2017-03-27Degree:MasterType:Thesis
Country:ChinaCandidate:C SunFull Text:PDF
GTID:2309330485959041Subject:Probability theory and mathematical statistics
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The dynamic portfolio selection model is among the most important problems in financial economics, which is the cornerstone of financial economics.Comparing with the static portfolio choice, dynamic portfolio choice embodies dynamic behavior of asset price, reflects the dynamic characteristic of security market,and the continuous process of investment decision; provides an intertemporal optimal method of how allocates the limited source for the investor to realize his or her investment object under uncertain environment; and is to some extent helpful to realize the rational expected equilibrium of security market, and make it function. So study on the problem of dynamic portfolio choice has important theoretical and practical meaning. This dissertation mostly studies the dynamic portfolio selection model in uncertain environment, It mainly includes four parts:In the first part, according to the properties of the trapezoidal fuzzy number,the possibility variance and the probability covariance are defined, and the expected return rate of uncertainty is measured. And based on these theories, a dynamic portfolio selection model based on trapezoidal fuzzy number is established.The Lagrange multiplication is applied to the solution of portfolio selection model, and an example analysis is carried out.In the second part, the portfolio background risk, transaction cost, liquidity risk and diversifying degree are studied in fuzzy number theory. Dynamic portfolio fuzzy selection model of the constraint conditions is established based on interval number.The effective scheme based on the different parameters is considered by the investor.Therefore, the investment process is more closer and flexible to the real condition.In the third part, the GM(1,1) model is optimized by means of the trapezoid formula method. The security price is predicted and prediction rate of return is solved by means of 1-AGO trapezoid formula model. The interval number of rate of return is structured based on deviation factor, The uncertainty rate of return is described by interval number, and the variance is defined based on interval number. Considering the uncertainty of the joint distribution function of the market factors, the proposition of Copula-CVaR and the establishment of the portfolio selection model under the Copula-CVaR restriction are based on Copula function, and a portfolio selection interval is based on geometry method.In the last part, the proposition of Continuous Pricing Model of stock index futures and the establishment of Dynamic Arbitrage-free Interval are based on the Optimal Growth Portfolio. The proposition of Risk at Value of portfolio and the establishment of Hedge strategy portfolio model are based on property of Complex Copula function and VaR. And a comprehensive summary is given in the last chapter.
Keywords/Search Tags:Trapezoidal fuzzy number, Portfolio Investment, background risk, fuzzy interval number, trapezoid formula, joint distribution function, Optimal Growth Portfolio, hedge strategy
PDF Full Text Request
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