基于CVaR的投资组合优化模型研究

风险价值(VaR)是近年来国际金融机构所倡导的测度和控制金融风险的国际主流技术,但是它在投资组合损益服从非正态分布的情形时,不满足一致性风险度量,出现尾部损失测量的非充分性。为了使具有一致性的条件风险值度量(CVaR)克服VaR的不足,构建基于CVaR约束的投资组合优化模型,该模型虑及了投资组合资产的交易成本、交易限制、资金约束和投资者的风险承受度,为制定合理的最优投资组合提供了一种新的思路。

CVaR- based Portforlio Optimization Model Research

Value-at-Risk(VaR) method advocated in recent years by many financial institutions is an international mainstream technique to measure and monitor finance risk.But the method will be unfillable to coherent measure of risk and lead to non-fullness tail loss measure when portfolio return-loss distributions are not "normally" distributions.Conditional-VaR (CVaR) with better properties can overcome these flaws of VaR.The paper builds portfolio optimization model based CVaR,,which includes transaction costs and limitation of portfolio assets and capital constrains and loss tolerances.The model provides a new idea for establishing a rational portfolio.