风险决策模型及其应用考虑主观因素的投资组合方案
本文致力于研究基于主观态度影响下的投资组合方案。首先，本文通过查阅文献资料筛选出影响风险决策的三大主观因素：成就动机、决策风格、情绪，并在模糊数学的理论上综合市场风险和经济风险两大客观因素，建立了多层次模糊综合评价模型。其探究结果表明在投资者进行风险决策时对风险的偏好程度由70%的客观因素和30%的主观因素组成。其次，在分析经典多目标规划投资组合的优缺点的基础上，建立了考虑风险偏好程度的单目标二次规划模型，可通过基于信赖子域的内点算法求解。最后，结合理论分析和实证分析的结果，探讨了本研究的局限和创新，并引入β系数来衡量金融产品相对于资产组合的总体波动性来改进二次规划模型的可行性和对后续研究提出了建议。51641
In recent years, increased experts and scholars pay close attention to the role of subjective factors in risk decision such as the mood, education, psychological distance, attitudes, etc. Risk decision-making has become hot topics among the study of the academic disciplines.
This article is committed to research Portfolio Plan considered on the Subjective Factors. First of all, the paper selected three subjective factors on risk decision through the literature data: achievement motivation, decision-making style and emotion. Based on the theory of fuzzy mathematics, we built the multi-level fuzzy comprehensive evaluation model, synthesizing two major objective factors including market risk and economic risk. The results from statistical analysis tools show that the investor’s in risk decision-making is composed of 70% objective factors and 30% subjective factors. Secondly, the paper established a single objective quadratic programming model considering appetite level for risk based on the analysis of the advantages and disadvantages of classical multi-objective programming portfolio. This model can be solved on the interior point algorithm based on trust subdomains. Finally, combined with the results of theoretical analysis and empirical analysis, this paper discussed the limitations of this study and innovation. The paper improved the feasibility of the quadratic programming model by introducing the beta coefficient, which measures the overall volatility of the portfolio relative to the financial products. Then put forward Suggestions on further research.
毕业论文关键词：主观态度；多层次模糊评价模型；基于信赖子域的内点算法；单目标二次规划
Keyword: Subjective attitude; Multi-level fuzzy evaluation model; The interior point algorithm based on trust subdomains; Single objective quadratic programming
目 录
1. 引言 3
2. 西方经典决策理论简介及主要问题 3
2.1 西方经典决策理论简介 3
2.2 经典决策理论的主要问题 4
3. 风险决策的模糊综合评价指标 4
3.1 影响风险决策的主客观因素简介 4
3.2 多层次模糊评价模型 5
3.3 投资组合风险因素比重 7
3.4 灵敏性分析 9
4. 单目标二次规划的投资模型 9
4.1 模型的基本假设 9
4.2 经典投资组合模型 11
4.3 改进的二次规划模型 14
4.4 实例应用 16
4.5 稳定性分析 16
5. 研究的局限、创新及改进方向 17
5.1 研究的局限 17
5.2 研究的创新 17
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