Research Of Portfolio Strategy Based On Securities' Price Risk Prediction

Obtaining relatively stable income through securities investment is the major choice for the securities investors,and the profits often accompany the risk.Construcing portfolio is a common method for securities investors to disperse risk.Facing the complex and changeable market and hundreds of thousands of securities,how to forecast the securities' price risk reasonably and construct a suitable number of securities with relatively stable returns and less risk has become a puzzle for securities investors,which also has great research value.In this paper,we introduced Grey System Theory,Entropy,and Prospect Theory to construct a securities risk prediction model.Based on this,a strategy for portfolio selection was raised.The main research content of this paper is as following:Firstly,we reviewed the development history of portfoli theory,and summarized the research progress of securities risk measurement method and portfolio selection model.Besides,we outlined the theories introduced in this paper systematically,including Effective Market Theory,Prospect Theory,Grey System Theory and Entropy Theory.Secondly,a securities risk prediction model was constructed.This paper distinguished the definition of risk and securities risk,and divided the structure of securities risk,and finally builded a model to measure the securities risk on the basis of analyzing the factors that affect the securities risk,in which the potential securities market risk is predicted according to the investors' investment time,purpose and the prediction trend of the stock market index which predicted by using an improved grey forecasting model;a comprehensive model for predicting individual alternative securities was constructed,in which the subjective risk of individual alternative securities is measured by the prospect value and entropy is used to measure the objective risk of individual alternative securities.Then,by collecting the Shanghai stock market datas,the validity of the risk prediction model established in this paper is validated.Finally,we put forward a strategy of portfolio selection.By analyzing the decision psychological of securities investors in actual investment environment and combining the prediction of securities risk,a portfolio strategy was given under the principle of securities investors' satisfaction.At last,the feasibility of the portfolio strategy is verified by an example.