不确定环境下金融产品投资组合的模型与优化

Financial Product Investment Combination Models and Optimization under Uncertain Scenarios

金融产品投资组合是金融产品管理和财务管理的重要内容 ,本文研究金融产品投资组合的模型和优化问题 ,这一问题的目标函数是股东权益资本产出率的极大化 ,决策变量是金融杠杆和债务结构。文中给出了金融产品投资组合模型与优化的不确定环境的构造过程 ,并引入了目前流行的风险价值指标 Va R。运用进化规划 ,给出一个不同置信水平下的债务结构。

Financial product investment combination is the major content of financial product management and financial management. In this paper, we analyzed the model and optimization of financial product investment combination, whose objective function is the maximum of stockholders′ return on equity, and whose decision variables are financial leverage and debt structure. The paper provided the structure process of financial product investment combination model and optimization under uncertain scenarios,and cited the prevalent index-Value at Risk. Finally,a simulation about debt structure,financial leverage and return on equity calculated by evolution plan are given under different trust region.