基于CVaR度量的投资组合优化研究

基于条件风险价值计量技术,首先考虑不允许卖空的情况下,以期望收益为约束,建立了以风险最小化为目标函数的投资组合优化模型。其次,针对该模型运用差分进化法进行求解,利用罚函数方法处理模型中的收益约束。最后,选取沪市和深市的8支股票以及银行存款利率数据进行实证分析,结果表明了模型的合理性和算法的可行性。

Portfolio Optimal Model Based on CVaR

Based on the risk measurement technology of conditional value-at-risk without short sales,a new portfolio optimal model was put forward when the minimum of conditional value-at-risk（CVaR） was taken as objective function and the expectant portfolio profit was taken as constraint.For the model,differential evolution algorithm was adopted for model solving.And profit constraint was treated by the penalty function method.Lastly,a case study with eight stocks of Shanghai and Shenzhen stock market and a bank deposit was conducted.The numerical results show that the given model is reasonable and the result is effective.