投資組合決策方法及其實證研究.pdf

1、天津大學碩士學位論文投資組合決策方法及其實證研究姓名：李晶瑩申請學位級別：碩士專業(yè)：管理科學與工程指導教師：劉金蘭20030101ABSTRACTThispaperintroducesthebasicconceptofmodemportfoliotheoryanditstwobranches：CapitalAssetPricingModelandArbitragePricingTheoryItalsoanalyzesbothadvant

2、agesanddisadvantagesofthesetheoriesOnthebasisofthesetheoriesandpractices，adetailedmethodofportfolioinvestmentdecisionsisadvancedInthispaper11piecesofshareofShanghaiStockExchangeareselectedandtestedChapteroneintroducesthe

3、portfolioinvestmenttheories，explainsapplicationanddisadvantagesofeverytheoryandmethodrespectivelyItisalsoabasisforthemethodsofportfolioinvestmentdecisionputforwardbythelatterchaptersIntheviewoftheproblemsexistinginpracti

4、ces，chaptertwoprovidesaapproachtoportfolioinvestmentwhichcombines13一modelforportfolioinvestmentdecisionandportfolioinvestmentdecisionmodelundershortfallconstraintChapterthreegivessomeestimationandforecastingmeansofparame

5、ters甌，8：referredbythe13一modelforportfolioinvestmentdecisionsofchaptertwoChapterfourexpatiatesgreypredictionmethod，GM(1，1)modelandGM(1，1)errortruncatedmodel，whichareusedtoforecasttheshareprices，withwhichthereturnratesofne

6、xtperiodcarlbecalculatedChapterthreeandfourmainlyaimatimprovingtheprecisionofparametersintherebuilt13一modelforportfolioinvestmentdecisionsandmakingthedecisionresultmorepracticableApplyingthetheoriesandmethodsreferredbyfo

7、rmerchapters，chapterfivegivesanempiricalstudyon11piecesofshareselectedfromShanghaiStockExchange，theportfolioweightsofwhicharereceivedintheendInthischaptertheresultistestedbyrealdatawhichprovethedecisionmethodispracticabl