Research On Portfolio Optimization And Application Based On Risk Attitude

With the development of financial market globalization,the free flow of capital,information technology,and securities investment,diversified portfolio has gained the favour of many investors.Markowitz in 1952 first uses the quantitative analysis method to express earnings-risk with the mean-variance,thus the development of modern portfolio theory in our country have a certain number of development and application.Modern portfolio theory is mainly based on the strict hypothesis condition,scholars have found that many factors that portfolio theory is difficult to achieve the optimal asset allocation effect in practice.Therefore,this article mainly studies the impact on the portfolio risk attitude,analysis based on different risk attitude under the condition of portfolio optimization design and application problems,so as to guide the investors to asset allocation reasonably,to achieve maximum utility asset allocation optimization combination.This paper firstly combed related theories of modern portfolio,risk attitude and literature review of the existing achievements both at home and abroad,as the theoretical basis for study on portfolio optimization under risk attitude.Secondly,the paper analyzes the application of modern portfolio theory in China's capital market present situation,the empirical results show that the portfolio investment can be part of the risk diversification,but because our country at this stage unable to realize effective capital market,investors' risk attitude instability factors,such as modern portfolio theory is the applicability of the existing problems in our country.Briefly expounds the impact on portfolio risk attitude.Then,through the questionnaire survey analysis risk attitude and its influencing factors,the results showed that gender,education level,level of wealth and investment experience and irrational factors have a significant impact to risk attitude,through the regression method to study the degree of influence on different factors.At the same time,according to the risk attitude to evaluate the results of the survey on the risk aversion coefficient into the utility function.This article utilizes the mean-variance model and the programming method for analysis of the optimal combination of risky assets,coupled with the utility function research of riskless asset and risky asset capital allocation process,summarized analysis under different risk attitude type design and optimize investment portfolio model.In this paper,the results of the study found that the degree of investor risk aversion,risk-free assets and the proportion of risky assets is different also,finally the optimal combination of the asset allocation will change too.And the theoretical analysis for risk aversion type optimization portfolio of investors can be greater reference value.In the end of this article,the empirical research of portfolio optimization model under risk attitude has been applied to individual investors and domestic investors that combining with our country securities market risk asset price data,analysis of the asset without risk is the optimal combination of the asset allocation,and case analysis.At the same time from the government,financial institutions and investors three aspects put forward relevant countermeasures and Suggestions,in hopes to improve investment optimization combination the applicability and the rationality of the investors' asset allocation in our country,so as to promote the development and application of portfolio theory in our country.