市场变化条件下的最佳投资组合模型研究  

On the Best Investment Combination Model in a Changing Market

作　　者：孙伯良[1] 魏海燕[2] 

机构地区：[1]浙江师范大学工商管理学院,浙江金华321000 [2]上海大学社会科学学院,上海200436

出　　处：《杭州师范学院学报（社会科学版）》2005年第3期70-73,共4页Journal of Hangzhou Teachers College(Humanities and Social Sciences)

摘　　要：VaR(ValueatRisk)是一个在当前的金融市场条件下,各种不同的风险测量一个确定投资的获利的重要方法。近年来,套利研究被用来开发这种风险的可行方法。提出了VaR估计并提出新问题。假设给定一个可接受的VaR,如何确定一组给定证券的组合投资的最大收益,并且同时满足的约束条件。假设市场条件是变化的,如何在保证的投资组合下,在给定的范围内,获得一个投资重组(重新平衡)策略,使其在一系列投资组合中相应的收益最大。为了解决这些问题,采用并进一步开发了一种算法来进行这些投资组合的优化问题。VaR (value at risk) is an important way to measure profits of a definite investment at different risks in the current financial market. In the recent years, arbitrage research has become an efficient method to develop this risk. The paper focuses on VaR estimation and analyses relevant new problems. Given an accepted VaR, how to determine maximum profits of stock investment combination and satisfy constraint condition? If the market condition is changeable, how to get a tactics of an investment recombination that is a maximum profits in given investment combination and VaR? To solve these problems, the paper puts forward a new method to study the optimum of investment combination.

关 键 词：VAR 投资组合 风险管理 

分 类 号：F830.59[经济管理—金融学]