VaR约束与资产配置优化——基于中国证券市场的经验数据分析

VaR模型是一种有效的风险计量和管理工具。在假设组合收益服从正态分布的条件下，分析了引入VaR约束的均值一方差模型及有效边界；考虑在一定置信水平下。结合组合收益的实际分布，给出了满足投资者VaR约束下期望收益最大化的计量模型及投资策略选择，并利用中国证券市场数据进行了实证研究。

VaR Constraint and the Optimization of Asset Allocation-Empirical Analysis based on China Stock Market

VaR model is an efficient risk measurement and management tool. This paper analyzes the mean-variance model and its efficiency frontier with the introduction of VaR constraint under the assumption that the return rate is subject to normal distribution. Under certain confidence level and according to the real distribution of return, accordingly this paper presents the econometric model of maximum expected return subject to VaR constraint and the investment strategy choice and does an empirical research on them by using the data of China stock market.