证券投资组合损失率概率评价模型的开发与实证检验

通过建立证券投资组合损失率概率评价模型,定义损失率概率为单个资产或投资组合的损失率超过市场平均损失率的概率,用于对投资组合的风险进行评价。以某基金为例,计算得到该基金的损失率概率为39.74%,表明该基金有39.74%的概率损失率超过市场平均损失率。以证券投资组合损失率概率最小为目标函数,采用遗传算法进行求解,得出该基金投资组合损失率概率最小时的投资权重系数,最小损失率概率为36.01%,与该基金公司的投资组合相比,损失率概率降低了3.73%,实例证明该模型是降低证券投资组合风险的一种实用方法。

The Development and Empirical Test of Probability of Loss Rate Evaluation Model about Portfolio

Probability of loss rate evaluation model about portfolio was proposed and probability of loss rate was defined as the probability that loss rate of separate or portfolio assets exceeds average loss rate of market.The probability of loss rate was used to evaluate risks of portfolio.The probability of loss rate at Someone Fund was calculated and it was 39.74%.It means that the probability that loss rate of Someone Fund exceeds the average loss rate of market is 39.74%.Optimization model whose Objective function based on minimal probability of loss rate were solved with GA.Weight of the portfolio was found when probability of loss rate at Someone Fund is minimal and the minimal probability of loss rate is 36.01%.Compared to the weight of portfolio at Someone Fund,probability of loss rate was decreased by 3.73%.The empirical test shows that the model is an effective method that reduces risk of securities portfolio.