文档介绍：马柯维茨投资决策模型
【论文摘要】证券投资者从事证券投资的目的,主要在于获取适当的预期收益。他们可以把资金全部投资一种或少数几种收益较高的证券上,以争取获得最大限度的收益。但是,投资的收益和风险是相辅相成的,高收益必然包含着高风险。所以,精明的投资者选择若干种证券加以组合,以分散其投资风险,避免过高风险和过低收益这两种极端情况的出现。这种投资方法是根据多样化的原则,建立一个投资组合(Portfolio),即包括多种证券在内的资产组合,目的是在一定的风险水平下获得最大的预期收益,或者获得一定的预期收益而使风险最小。
在寻求最佳的资产组合时,投资者要考虑三个变量:风险、利润和相关性。投资者最终的目标决定了他必须承受的风险,也就是说他要在效率界限中找到最佳的投资组合。
本文主要介绍马柯维茨理论,建立马柯维茨模型进行投资组合决策分析,并利用拉格朗日(Lagrange)乘数法对模型进行求解,且对实例进行分析求解。
本文显得过于简单,忽略了很多实际问题,所以对于精确度要求较高的投资者并不适用。本文立足知识要求低,相比于其他复杂的模型而言,本文不需要太多的专业知识,在实际应用中有一定的价值。
【关键词】马柯维茨模型,投资组合,均值-方差模型
【Abstract】The stock certificate investor is engaged in the purpose of stock certificate investment, being mainly lie in obtaining appropriate expectation e. They can invest all of the funds one kind or minority a few stock certificates with higher es up acquire by fighting for utmost e. But, the e moderate breezes insurance of the investment plement each other, the high e includes high risk by all means. So, the investor of hardhead chooses some stock certificates to take in bine to invest by scattering it risk, once avoiding high risk with lead low e these two kinds of extreme circumstances of emergence. This kind of investment method according to diversification of principle, build up a portfolio, then include various stock certificates at inside of the bine, the purpose is in the certain risk level to descend to acquires the biggest expectation e, or acquir