组合投资的风险与收益及其MATLAB的实现.

2015届毕业论文

股票组合投资的风险与收益及其MATLAB的实现

摘 要

随着经济的发展，越来越多的投资者开始将闲置资金投入股票市场，如何科学地在可接受的风险水平下获取收益成为投资者迫切需要解决的问题，由于中小投资者资金投入有限，将有限的投资额有效地分配到不同的股票以降低风险显得尤为重要。俗语中有句话讲到，鸡蛋不能放在一个篮子里，这句话的内涵就是投资组合。对于投资者而言，股票投资作为一种增加收益的方法也存在着一定的风险，因此如何合理的利用股票投资组合方案来降低投资中面临的风险是十分有必要的。

本文是探索给予一定量资本情况下，要使收入达到一定比例，如何获得最优组合的投资方法。本文以马科维茨投资组合理论为主结合动态规划内容，当投资者要求满足投资组合的风险降到最低，同时就需要用关联关系的达到最小，因此可以采用二次规划和动态规划来解决问题，并确定使用MATLAB的编程求解。

关键词： 股票投资组合；投资组合的风险收益

ABSTRACT

In today's market has become increasingly fierce competition, many investors in explore a new way to reduce the management risk, seek a more stable income.With he constant improvement of stock trading development in China, the concept of the nvestors are engaged in stock investment show mature gradually, and the combination of stock investment in the stock market investment as a kind of effective method.Many countries in Europe and in stock investment market is now the important one seat and have a very broad application.Although at present the development of Chinese stock market is not very perfect, but those classic foreign stock portfolio theory and investment strategy can give a lot of reference, so that a series of problems we need to come up with a more practical method to solve, can provide a more powerful investors in the stock investment of our country's help.Study given to the model and capital, to meet a certain percentage of their income, make the risk as far as possible the way to the smallest of the optimal portfolio.Use Markowitz put forward the basic framework of portfolio, and reasonable improvement on the original content.According to the concept of Markowitz portfolio, to minimize the portfolio risk, in addition to diversification in different projects, still should choose low correlation coefficient related investment projects, using quadratic programming to solve the problem, and used MATLAB programming model.

Key words Enterprise stock portfolio; Portfolio risk and return

目 录

1 股票相关知识及