Uncertain Portfolio Selection Models Considering Put Option And International Bond Investment

The study of portfolio has been sought after by scholars,and uncertainty theory has been proposed and has gradually been widely applied in portfolio problems.In uncertainty theory we regard uncertain future prices or returns as uncertain variables,which require experts and scholars in the field of finance to make judgments and predictions about future prices based on their own experience.On the basis of Markowitz classical portfolio model,scholars have proposed many models that are closer to the subjective psychology of investors and financial markets under the framework of uncertainty theory,which has promoted the development of uncertain portfolio theory.This paper is dedicated to the problem of uncertain portfolios,which in previous studies have mostly been portfolios of stocks and risk-free assets,rarely including other financial products,and the study of the problem has focused on the domestic financial markets.As we know,with the development of globalized financial markets,investors have more opportunities to choose to invest in international markets.In contrast to previous studies,the two issues studied in this paper are both innovative and of practical importance.The first model investigates the portfolio problem of stock indexes and put options,introducing options into the portfolio to hedge the risk of stock indexes,and proposing incomplete hedging models and complete hedging models.In this paper,Va R and CVa R are used to measure risk,and the risk aversion coefficient λ is introduced to portray investors’ risk preferences.The results show that the complete hedged model generates greater returns and smaller losses than the incomplete hedged model,while the portfolio with options generates greater returns and smaller losses than the portfolio without options.The second model examines the two-stage portfolio problem for international bonds,considering both one-year and two-year Treasury yields,the exchange rate at the initial and maturity moments,and the reinvestment rate at maturity.An opportunity measure model is used for risk measurement to study the return under different loss tolerance levels.