基于风险调整后资本收益率的最优资产投资组合模型  

Optimal portfolio selection based on maximizing risk-adjusted return on capital

作　　者：吴道煜[1] 尹红霞[1,2] 

机构地区：[1]中国科学院研究生院数学科学学院,北京100049 [2]中国科学院虚拟经济与数据科学研究中心,北京100080

出　　处：《中国科学院研究生院学报》2008年第6期726-731,共6页Journal of the Graduate School of the Chinese Academy of Sciences

基　　金：国家自然科学基金(10671203,70531040,70621001)资助

摘　　要：通过极大化风险调整后的资本收益率(RAROC),建立了一个最优资产投资组合方案.根据RAROC的分式结构,以及回报函数和风险函数通常是关于投资额的齐次函数,将分式优化问题转化为对其分母的最优化.当风险资产期末回报率服从正态分布,风险度量采用在险价值或条件在险价值时,极大化RAROC的问题可以转化为目标函数为二次平方根函数,约束为线性等式和不等式的最优化问题,此时可以利用二阶锥优化模型进行求解.In this paper, we consider an optimal portfolio selection method based on maximizing risk-adjusted return on capital （RAROC） of the portfolio. The fractional structure of the objective function maximizing RAROC makes it difficult to be salved. We noticed that in real financial practice, the expected return function and risk function of the portfolio are often homogeneous with the amount of investment. Under some conditions we proved that the problem can be solved by minimizing its denominator in certain constraints. When random return follows normal distribution, it maximizes RAROC problem associated with risk measure, such as Value at Risk （VaR） or Conditional Value at Risk （CVaR）, can be reformulated as a problem that minimizes a square root function with linear constraints. The latter problem can be solved by using excising second order cone optimization software.

关 键 词：最优资产投资组合 风险调整后资本收益率 在险价值 条件在险价值 齐次函数 

分 类 号：F830.59[经济管理—金融学]