基于稳健设计的证券投资决策研究  

Research of Securities Investment Decision Based on Taguchi Method

作　　者：刘玉新[1] 高齐圣[1] 

机构地区：[1]青岛大学经济学院,青岛266071

出　　处：《青岛大学学报（自然科学版）》2017年第2期97-101,共5页Journal of Qingdao University(Natural Science Edition)

摘　　要：从证券投资决策的角度出发,对马柯维茨模型进行分析论述,针对模型缺陷,提出实验设计的方法,采用稳健性设计,将质量损失函数与前景理论相结合,得到非对称的质量损失函数,进行投资决策优化。研究结果表明,以质量损失函数最小化为目标,解决了马柯维茨模型单一变量控制的弊端,保证了模型的稳健性,实证分析说明该方法是可行的和有效的。From the perspective of securities investment decision-making point of view, the Markowitz model was analysed. Aiming at the defect of the model, the method of experiment design was put forward. Based on Taguchi robust design, the quality loss function and the prospect theory were combined to obtain the asymmetric quality loss function, and it be used to make the investment decision optimization. The re-sults showed that , the experimental design based on the objective of minimizing the quality loss function, to solve the shortcomings of the Markowitz model single variable control, and it ensure the robustness of the model. The example showed that the method was feasible and effective.

关 键 词：证券投资决策 稳健设计 质量损失函数 前景理论 

分 类 号：F830.91[经济管理—金融学]