新兴产业发展中基于风险扩散模型的投资组合优化策略

IF 3.1 Q1 Mathematics
Shuangqin Ni, Shen Wang
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引用次数: 0

摘要

本文首先梳理了溢价原理公式和扩散模型算法,然后研究了风险扩散模型下投资者投资新兴产业时的最优投资消费和保险购买策略问题。在现实金融市场中,资产价格存在两种不确定性:正常波动和异常冲击。在此基础上,利用风险扩散模型规划最优投资策略。最后,进行了三次测试,包括两次数值模拟和一次确定投资者年龄的投资分析。计算结果表明,第一组模拟中的最优策略是在参数 σ = 0.1 时投资额 A(x) 增加 56%。在第二组模拟中,投资者目标的标准差为 9.287%,投资者投资于风险证券的资产应为 1.071。在第三组测试中,随着投资者年龄的增加,投资者的风险资产投资值从 30 年后的 2.0 继续下降,到 40 年时,已经接近 0.25,而且还有继续下降的趋势,最后趋近于 0。投资者可以通过投资本文的投资组合优化策略,预测股市的波动和振动,提供有效的参考数据。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Portfolio Optimization Strategy Based on Risk Diffusion Model in Emerging Industry Development
In this paper, we first sort out the formula of the premium principle and the algorithm of the diffusion model and then study the strategy problem about optimal investment consumption and insurance purchase when investors invest in new developing industries under the risk diffusion model. In real financial markets, there are two types of uncertainty regarding asset prices: normal fluctuations and abnormal shocks. The risk diffusion model is used to plan the optimal investment strategy based on this basis. In the end, three tests are executed, including two numerical simulations and one investment analysis that determines the investor’s age. The computational results show that the optimal strategy in the first set of simulations is the 56% increase in investment volume A(x) at the parameter σ = 0.1. The standard deviation of the investor’s objective in the second set of simulations is 9.287%, and the investor’s assets invested in risky securities should be 1.071. In the third set of tests, as the investor’s age increases, the value of the investor’s investment in risky assets continues to decline from 2.0 after 30 years, and by the time it reaches 40 years, it is already close to 0.25, and there is a continued decline, converging to 0. Investors can invest in providing effective reference data by investing in the portfolio optimization strategy in this paper, which predicts stock market volatility and vibration.
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来源期刊
Applied Mathematics and Nonlinear Sciences
Applied Mathematics and Nonlinear Sciences Engineering-Engineering (miscellaneous)
CiteScore
2.90
自引率
25.80%
发文量
203
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