CVaR模型的有效边界与组合选择  

Research on Efficient Frontier and Optimal Portfolio of CVaR Model

作　　者：花俊洲[1] 

机构地区：[1]上海金融学院国际金融学院,上海201209

出　　处：《上海金融学院学报》2008年第6期49-53,共5页Journal of Shanhai Finance University

摘　　要：CVaR模型是经典马柯维茨均值-方差模型的直接推广,即由CVaR来直接代替方差作为风险约束条件,使得投资组合模型在新的度量标准下更加合理。本文证明了基于CVaR约束下投资组合模型有效边界的上凸性,并在收益为正态分布的假定下,结合负指数效用函数,解决了投资组合的选择问题,求得具体的显示解,并得出与均值-方差模型相一致的结论。CVaR model is the direct extension of Markovitz Mean-Variance Approach, namely CVaR is used to replace variance as the risk constraint, which makes the portfolio model more reasonable under new measurement. We gave the conclusion that the efficient frontier of the optimal portfolio model constrained by CVaR is concave curve. Under the assumption of normality of securities return, with the help of negative exponential utility function, we solve the problem of portfolio selection, which complies with the conclusion of Mean-Variance Approach.

关 键 词：条件风险价值 最优组合 有效边界 负指数效用函数 

分 类 号：F830.59[经济管理—金融学]