基于VaR和两基金分离的投资组合模型

本文使用VaR来度量投资组合的市场风险,构造了一个在可接受期末财富约束条件下,使VaR达到最小的投资组合模型,同时,发现该模型发生了两基金分离现象,因此存在多风险资产情形下的投资组合模型可以退化成为单风险资产情形下的投资组合模型。最后,本文使用简化的单风险模型对我国上海股票市场进行了实证分析,探讨投资者如何在股票和银行借贷中进行最优资产分配。

Optimal Portfolio Model Based on VaR and Two-Fund Separation

The writers of this paper make use of ValueatRisk(VaR) to measure the risk of portfolios and develop an optimal portfolio model by minimizing the VaR subject to the minimal acceptable limits that the final wealth should meet.We find that the optimal portfolio model based on VaR generates two-fund separation,so the asset returns can be replaced with two mutual funds,that is,a risky asset and a risk-free asset.Finally we use the simplified single-risk model to conduct an empirical analysis into Shanghai stock market to investigate the ways investors make their optimal portfolio choices between the stock and the bank funds.