数学与应用数学-数学模型在投资风险与收益中的应用论文

2024年3月31日发(作者：数学试卷集合电子版下载)

摘 要

数学模型常用来解决经济中的问题。本文根据马科维兹均值—方差模型，用期望

与方差将抽象的风险与收益进行量化。并选取了5种投资商品的历史收益率、收盘价

等数据进行实证分析，根据Matlab程序计算协方差、方差、平均收益率等得出有效前

沿，运用矩阵求出每种证券商品对应的权重，从而实现组合最优。

关键词：

投资组合理论；有效前沿；投资风险；收益

Abstract

Mathematical models are often used to solve problems in the economy. This paper

quantifies the abstract risks and benefits with expectation and variance according to the

Markowitz mean-variance model. And selected 5 kinds of investment commodity\'s historical

return rate, closing price and other data to carry on the empirical analysis, according to the

Matlab program calculation covariance, variance, average return rate and other formulas to

get the effective frontier, using the matrix to find the corresponding weight of each security

commodity,to achieve the optimal combination.

Keywords:portfolio theory;effective boundaries;investment risk;return