证券组合投资决策:系统思考和实验设计

Portfolio Selection Decision: System Thinking and Experiments Design

以证券组合投资决策问题为背景,引入二次曲线型效用函数,给出期望效用最大化数学模型,目标是保证证券中得到收益的期望值尽量大且方差尽量小。进一步从系统结构和功能角度,解释了马科威茨证券组合投资决策模型的不足,指出从复杂系统理论角度探讨才有可能解决本质问题。最后,应用配方均匀设计工具给出了组合投资问题实验设计方法。该方法可用于优化阶段求解,同样也可用于金融产品的设计阶段。

The present paper introduces the utility function of quadratic curve form and establishes a maximization model of expected utility in the context of portfolio selection decision problems. The target of this model is to maximize the expection of profits and minimize the variance. Furthermore we explain the deficiencies in Markowitz＇s portfolio selection decision model in view of system structure and function. Then we indicate that the essential problem can be solved only from the perspective of complex system theory. Finally, the experiment design method of the maximization model is presented utilizing the mixture uniform design tool. This method can be used in not only optimization stage, but also the design stage of financial product.