基于一致性风险价值的投资组合优化模型研究  

Portfolio Optimization Model of Coherent Value-at-Risk

作　　者：何琳洁[1] 文凤华[1] 马超群[1] 

机构地区：[1]湖南大学工商管理学院,湖南长沙410082

出　　处：《湖南大学学报（自然科学版）》2005年第2期125-128,共4页Journal of Hunan University:Natural Sciences

基　　金：教育部十五规划项目(01JA790092).

摘　　要：证券市场上收益率分布存在严重的偏峰厚尾现象;同时风险价值方法本身不符合次可加性,这使得进行组合优化时它的局部最优解并非全局最优.针对这些问题,我们从一致性风险度量理论出发,提出了一种新的风险度量技术———一致性风险价值———来度量投资组合的信用风险,在此基础上建立了一致性风险价值的投资组合优化模型,并运用线性规划技术进行组合优化.最后我们通过实证研究,发现运用基于一致性风险价值的优化模型进行投资组合的结果,优于运用基于风险价值的优化模型.In the security market, return-loss distribution exist the severe phenomenon of excess kurtosis and heavy tail; meanwhile,method of Value at Risk itself cannot correspond with subadditivity, all of which make local optimal not be the whole optimal when selecting the optimal portfolio. For these problems, proceed from the theory of coherent risk measurement, we put forward a new technique of risk measure—Cohesive Value at Risk—to measure credit risk of portfolio, on which we build portfolio optimization model of Cohesive Value at Risk and select the optimal portfolio with linear programming. Lastly, by emperical studies, we find the fact that final result by selecting the optimal portfolio based on optimal model of Cohesive Value at Risk is better than that of on optimal model of Value at Risk.

关 键 词：风险价值 一致性风险价值 投资组合 

分 类 号：F830[经济管理—金融学]