目录..................................................1..................................................2.................................................3..................................3......................................3.............................................4....................................4....................................4...................................6......................6..................................7................................7........................................8........................................8.......................................8.......................................8...................................9.......................9........................10........10.....................11................12.......12...................................................13......................13............14..14...............................................15.....................15......................16.............16...................................................16......................17.............................18........................................19...................................19............................19....................................19.................20...............22.....................................................23.................................................24.....................................................26.....................................................27中文摘要随着中国证券市场的蓬勃发展，投资风险日益复杂，人们的投资重心由追求获利逐步转向控制风险。纵观近期市场情况，2017年度个人投资者参与市场的表现不佳，而各种基金收益良好，投资业绩较为突出，不少爆款基金发售当时就被抢购一空。然而2018年一季度各类基金高开低走，一些明星基金表现不尽如人意导致投资者丧失对基金的投资信心。在当前的动荡市场中，作为资金供给方的个人投资者迫切需要收益稳定的基金产品，而作为资金管理方的证券投资基金也期望寻找到业绩表现良好的投资组合以吸引个人投资者的目光。基于以上背景，本文试图建立具有实际应用意义的最优证券投资组合，为相关证券投资基金提供参考。本文将根据文中建立的证券投资价值评价标准在沪深300指数中选出适量股票，并从均值-方差模型和均值-VaR模型入手，加入限制卖空和无风险资产等适用于中国证券市场的约束条件，运用MATLAB二次规划和非线性规划求出各模型的最优权重分配，通过业绩比较总结出最优证券投资组合应由标准历史模拟法下的均值-VaR模型来构建。最后探讨组合中各参数的影响，得出最优证券投资组合中股票数目为19只时风险分散到最低及预期收益率越高，组合风险越高的结论。关键词：均值-方差模型均值-VaR模型最优证券投资组合非线性规划ABSTRACTWiththevigorousdevelopmentofChina'ssecuritiesmarket,investmentriskisbecomingmoreandmorecomplex.People'sinvestmentfocusisgraduallychangingfrompursuingprofitstocontrollingrisks.Intherecentmarketsituation,theperformanceofindividualinvestorsinthemarketin2017isnotgood,butthebenefitsofvariousfundsaregoodandtheperformanceofinvestmentismoreprominent.Manypopularfundsweresoldoutatthetime.However,inthefirstquarterof2018,allkindsoffundswentupanddown,andsomestarfundsfailedtoperformwell,resultingininvestorslosingconfidenceinthefund'sinvestment.Inthecurrentturbulentmarket,individualinvestors,ascapitalsuppliers,areinurgentneedofstablefundproducts,andsecuritiesinvestmentfunds,asfundmanagers,alsoexpecttofindgoodportfoliostoattracttheattentionofindividualinvestors.Basedontheabovebackground,thi...
