The Empirical Research Of Portfolio Selection Model Based On The Shanghai Stock Market

Based on the research achievements of the modern financial theory, a linear programming portfolio model with interval fuzzy number and a model of the compound options’ valuation are established in this article. In the paper, the adaptive filtering method is used to predict the weekly return of the stock. Based on the stock market information of Shanghai, the practicability of the linear programming model with interval fuzzy number is analyzed. In addition, the dissertation deduces pricing formulas of compound options on jump-diffusions with time-dependent parameters which based on the options’ underlying asset is the portfolio from the Shanghai stock market.In this paper, the main work is summarized as follows:In chapter 1, the article’s research background, significance and the current research situation at home and abroad are expounded. Meanwhile, the research contents, methods and innovation points of this dissertation are illustrated.In chapter 2, the main theoretical concepts in view of the research contents of this paper are explained.In chapter 3, the interval fuzzy number is introduced into the profitability, risk and turnover rate for the reason that the great uncertainty of investors’ expected returns, risk and liquidity. In the chapter, a portfolio linear programming model with fuzzy interval number is established, and the practicability of the model is analyzed through the week opening price, closing price and turnover rate of the Shanghai stock exchange’s listed A stock. In addition, in the last part of this chapter, the adaptive filtering method is used to predict the weekly stock return.In chapter 4, the valuation of compound options on jump-diffusions with time-dependent parameters is studied which based on the underlying asset is the portfolio of the Shanghai stock market and the computational expression of compound options’ value are acquired. Meanwhile, the proof of the pricing formula is showed.