The Risk Analysis And Control Of Securities Investment

Risk occurs when investment exists, just like the risk and income are always concomitant with each other. Thus risk analysis and control become two core subjects of the financial investment field. Securities investment market is an important component of the financial study field, which not only has the characteristics of the financial investment, but has its own specialties. Various uncertain factors inside and outside securities market, together with the fluctuation of the securities price, are the roots of securities investment risk, and the investment risk affects the securities income directly. Therefore, risk analysis and control of securities investment have great practical significance.Targeting on securities investment risk and contraposing the shortage of theoretical study about the investment risk in domestic and abroad, this paper studies the risk analysis and control problem. New definition of securities investment risk is proposed, which is base on the study of the essential attribute and the basic conception about securities investment. From the point of view about quantitative, qualitative and the combination of both, a new risk measurement index is proposed. The paper studies the relationship between investment portfolio risk and single securities investment risk. And then proposes optimal models for solving minimum risk points, which bases on system risk index. The theoretically analysis indicates that they can offer more scientific and more reasonable than the traditional methods.Based on new risk measure index, securities investment risk prediction and control were studied. This thesis offeres a resource allocation optimization model and its solution, of which objective function is the new measurement. Then this paper proposes a new easier solved transform of lower partial moment (LPM) optimization model, which proves can effectively overcome the problem of covariance matrix morbidity. Finaly based on the models mentioned above, the problem of risk forecasting and control was studied.Empirical study, based on the historical data of Shanghai stock exchange, proved that the income of securities investment time series has Stability and the distribution is Non-normality. The Empirical study also proves that the new securities investment risk theory can reduce the risk of investment in the process of risk analysis and control effectively.