基于风险控制的证券投资决策  

The Security Investment Policy Decision Basing on Risk Controlling

作　　者：黄继平[1] 黄良文[1] 陈蔚[2] 

机构地区：[1]厦门大学经济学院 [2]国家统计局办公室

出　　处：《统计研究》2004年第7期44-48,共5页Statistical Research

摘　　要：This paper puts forward Markowitz’s Mean-Variance Model under the VaR(Value at Risk) constraint. After analyzing Markowitz’s Mean-Variance Model under the VaR constraint fit for China’s securities market, it presents the dynamic adjustment method of investor’s optimal securities investment portfolio. In the end, it gives out a practical analytical example in China’s securities market and research conclusions.This paper puts forward Markowitz's Mean-Variance Model under the VaR(Value at Risk) constraint. After analyzing Markowitz's Mean-Variance Model under the VaR constraint fit for China's securities market, it presents the dynamic adjustment method of investor's optimal securities investment portfolio. In the end, it gives out a practical analytical example in China's securities market and research conclusions.

关 键 词：风险控制 证券市场 投资决策 VAR 投资组合 Markwitz均值-方差模型 

分 类 号：F830.59[经济管理—金融学] F830.9