| 基于条件风险价值的投资组合优化模型 |
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| 引用本文： | 李朋根,肖春来.基于条件风险价值的投资组合优化模型[J].北方工业大学学报,2007,19(1):70-74. |
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| 作者姓名： | 李朋根 肖春来 |
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| 作者单位： | 北方工业大学经济管理学院,100041,北京;北方工业大学经济管理学院,100041,北京 |
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| 摘 要： | 风险价值(VaR)是金融机构广泛运用的风险度量指标,条件风险价值(CVaR)是VaR的修正模型.本文运用CVaR构建了投资组合优化模型,并与均值-VaR模型和Markowitz的均值-方差模型进行了比较分析,论证了新模型的有效性,并对我国股票市场进行了实证分析.
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| 关 键 词： | 投资组合 CVaR VaR |
| 修稿时间： | 2005-09-23 |
The Optimal Portfolio Model Based on CVaR |
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| Li Penggen,Xiao Chunlai.The Optimal Portfolio Model Based on CVaR[J].Journal of North China University of Technology,2007,19(1):70-74. |
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| Authors: | Li Penggen Xiao Chunlai |
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| Affiliation: | College of Econ. and Business Administration, North China Univ. of Tech. , 100041, Beijing, China |
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| Abstract: | Value-at-Risk(VaR) is a widely used risk measuring index used in financial institutions in recent years.Conditional Value-at-Risk(CVaR) is the revised model of VaR with better properties than VaR.In this paper,an optimal portfolio model based on CVaR is constructed,and is compared with the mean-VaR model and the mean-variance model advanced by Markowitz.Finally,a case study for our stock market is performed to demonstrate how the new optimization techniques can be implemented,providing a new idea for establishing a rational portfolio. |
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| Keywords: | portfolio CVaR VaR |
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