基于均值-VaR的多周期最优投资组合决策模型  

Optimizing multi-period portfolio decision model with mean-VaR risk control

作　　者：李蕊[1] 

机构地区：[1]青海大学成人教育学院,青海西宁810001

出　　处：《青海大学学报（自然科学版）》2011年第4期91-96,共6页Journal of Qinghai University(Natural Science)

摘　　要：文中考虑了基于均值-VaR风险的最优投资组合决策问题,在存在无风险资产和交易费用的情形下,建立了基于均值-VaR风险控制的多周期最优投资组合决策模型。应用遗传算法对模型进行了求解,对求解结果进行了比较分析,并结合单周期的情形进行了比较分析,结果表明基于均值-VaR风险控制的多周期最优投资组合决策模型相对于单周期最优投资组合决策模型有明显的改进效果。Optimal portfolio decision-making with mean-VaR risk was considered in this paper.Multi-period and portfolio decision model were established with the risk-free assets and transaction costs.The solutions of the model were derived by numerical simulation of genetic algorithm,and a comparative analysis with the single-period portfolio decision model was conducted.The results show that the multi-period portfolio decision model improves the single-period portfolio decision model with mean-VaR risk control.

关 键 词：多周期 均值-VAR 风险控制 投资组合 遗传算法 

分 类 号：F830[经济管理—金融学]