导　　师： 张崇岐

学科专业： 070103

授予学位： 硕士

作　　者： ;

机构地区： 广州大学

摘　　要： 混料试验设计在工业、农业和科学试验中得到了广泛的应用，本文主要将混料试验设计理论与方法应用于组合投资之中，以新的视角研究了证券组合投资问题． 全文共分五章:第一章主要介绍了本文的研究背景、内容和意义． 第二章系统的介绍了混料试验设计的理论，包括常用的混料试验设计方法、回归方程预测值的方差函数、G-最优设计． 第三章回顾了国内外有关现代投资组合的理论发展与方法，以及有关证券组合投资风险最小化模型的文献． 第四章分别研究了同方差与异方差混料模型的组合分析，用试验设计的理论合理的解释组合投资中的风险和收益问题，给出了在G最优设计下证券组合的最大风险达到最小的结论，并通过大量实例，算的组合风险最小时的投资比例系数． 第五章结语，阐述文章的主要结果． Mixture experimental designs have been widely used in industry, agricultureand science test, this paper mainly applies mixture experimental designs theory andmethod to the portfolio investment, which is a new perspective to research on theportfolio investment. This paper includes five chapters: The first chapter introduces the research back-ground, contents and significance. In chapter2, we introduce mixture experimental design theory in detail, includ-ing the common mixture designs, the variance function of predicted valve for regres-sion equation, G-optimal designs. In chapter3, we review the domestic and foreign literature on the modern port-folio theory development and methods, and the minimized risk model of securitiesinvestment. In chapter4, we analyze portfolio investment at homoscedastic and het-eroscedastic mixture model. We give the explanation of portfolio risk and portfolioprofit from the mixture designs theory. According to the theory analysis, the max-imum portfolio risk will be minimum at the G-optimal experiment design, and wecan calculate the investment proportional coefficient when portfolio risk minimumthrough some examples. In chapter5, we give the conclusion of the major results in this paper.

关 键 词： 混料试验设计 最优设计 组合投资 组合风险

分 类 号： [F224 F830.59]

领　　域： [经济管理] [经济管理]