基于概率准则的投资策略及其风险控制

In order to get the expected revenue in a holding period and guard against risks, on the premise of normality assumption, this thesis introduces the definition of the expectation maximum loss rate and the expectation maximum loss in a holding period for certain investment, deduces in detail and compares measurement method of expectation maximum loss rate and the expectation maximum loss to a single investment and portfolio so as to offer the risk control guidance to investors. In the empirical study, first of all, in the SPSS environment, normal and independence testing are performed for the selected data, and then the VaR constrain is added in the Markowitz mean-variation model, the simulation and solution to nonlinear programming problem with a constraint are obtained by using the Differential Evolution algorithm in the Mathematica, some feasible investment projects are given in the end. Some Factors and countermeasures that affect the investment risk control are presented.