基于非正态分布收益率的限制卖空投资组合模型及其优化仿真  

The Optimization and Simulation of Portfolio Model with Nonnormal Distribution Return Rate without Short Sales

作　　者：郁志勤[1] 杨根科[1] 张国勇[2] 

机构地区：[1]上海交通大学自动化系 [2]山西省气象局

出　　处：《微型电脑应用》2011年第1期54-57,6,共5页Microcomputer Applications

摘　　要：针对收益率服从非正态分布的风险资产建立限制卖空的均值-VaR投资组合模型,与马克维兹的均值-方差投资组合模型及收益率服从正态分布的均值-VaR投资组合模型进行比较分析。应用实例显示均值-VaR投资组合模型的投资效果优于均值-方差投资组合模型,基于非正态分布收益率的均值-VaR模型的投资效果略优于基于正态分布收益率的均值-VaR模型。Under the assumption that rates of return are not normal random variables, a mean-VaR portfolio model without short sales is established to be compared with mean-variance portfolio model and mean-VaR portfolio model with normal distribution return rates. The application shows that the investment result of mean-VaR portfolio model is better than that of mean-variance portfolio model. The investment result of mean-VaR portfolio model with nonnormal distribution return rate is better than that of mean-VaR port...

关 键 词：投资组合 优化 风险资产 

分 类 号：F224[经济管理—国民经济]