Analysis Of Optimal Portfolio Model Under Ambiguity

In the era of rapid economic development,people are no longer limited to a single way of financial management,and the types of investment are also increasing,so the optimization of investment portfolio has become one of the hot topics of The Times.A portfolio is a way for investors to diversify their exposure to investment risk.The problem of portfolio selection can be simply understood as that investors can invest their limited initial wealth into different asset projects and get the maximum return.Therefore,for investors,the optimization problem becomes the key to how to make decisions,and the establishment of the optimization model will play a crucial guiding role for investors.Compared to the traditional portfolio model,this paper joined the ambiguity,specific analysis in this paper,by using KMM model,to yield volatility consideration into ambiguity elements,think that it is impossible to know the distribution,using the nonparametric kernel density estimation method to predict the density estimate of its function,and introduces the specific parameters and utility function to get the optimal solution,finally has carried on the empirical analysis to the feasibility and effectiveness of the model.This article is divided into five parts,the first chapter is the introduction,the main purpose is to lead the research question,so this paper introduces the portfolio of research background,research purpose and meaning,system of portfolio will do the research status at home and abroad were reviewed in this paper,after introducing the research content of this article and article structure arrangement;The second chapter introduces some basic knowledge used in this paper,such as utility theory,risk and uncertainty problem,nonparametric estimation,etc.The third and fourth chapters are the key chapters of this paper.The third chapter analyzes the smooth and ambiguity(KMM)model in detail and explains it into the portfolio optimization problem.In the fourth chapter,the KMM model is empirically studied by MATLAB and compared with the traditional expected utility(EU)model.The conclusion is that this model is superior to the traditional EU model.Chapter five is the conclusion and prospect.The results of this study were summarized and the deficiencies were analyzed,which laid a foundation for future research.By introducing the KMM model into the problem of investment portfolio and conducting empirical research on it,this paper successfully combines the subjective prediction of investors with the actual data of the market.It is hoped that this study can provide investors with a feasible investment strategy and provide effective guidance in reality.