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The Research on the Risk Measure and Porfolio Model for Investment

Author: XueChunGuang
Tutor: XuYun；HuXiJian
School: Xinjiang University
Course: Operational Research and Cybernetics
Keywords: Entropy Risk measure Fuzzy optimization Combinatorial project model Transaction cost
CLC: F224
Type: Master's thesis
Year: 2007
Downloads: 340
Quote: 3
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Abstract


Modern portfolio theory, to which economists in the world have closely beenpaying atention, is one of the most important forward theoretical field. In 1952,Harry M. Markowitz published a landmark paper portfolio selection, that is gen-erally viewed as the origin of the modern portfolio theory approach to investing.Markowitz established the combination investment model on the thought of mea-suring the risk by the variance of revenue’s rate and developed the times of thefinancial quantitative analysis. That model has important meaning at the the-ory and application. The e?cient portfolio gathering and the boundary of theportfolio are further studied in this paper. we think the risk is the uncertainty,developping a measure of risk based on the concept of entropy as a kind ofcomplementarity for measuring risk. We all know that risk is the uncertaintyabout future returns, whereas uncertainty comprises randomness and fuzziness,we try to takes advantage of basic concepts and principles of fuzzy sets, centerson“fuzziness”to probe into investment portfolio relationship between risk andreturn. Meanwhile, considering that di?erent investor has di?erent preference forrisk, the paper builds up a portfolio fuzzy model.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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