基于VaR约束的最优投资组合选择  

Optimal Selection of Investment Portfolio Based on Constraint of VaR

作　　者：尉轶昊[1] 毛宏[1] 

机构地区：[1]上海第二工业大学经济管理学院,上海201209

出　　处：《上海第二工业大学学报》2011年第4期298-306,共9页Journal of Shanghai Polytechnic University

摘　　要：通过建立期望效用-VaR模型,借助于Matlab和Monte Carlo模拟技术,深入探讨和分析了以VaR作为风险测度标准及约束时,拥有不同风险偏好及初始财富值的投资者在进行投资决策时对最优投资组合的理性选择,以中国A股、公司债券和国债这三大证券在2004～2006年及2009～2010年间5年的历史数据为估计模型的参数值,并讨论了在中国资本市场中运用投资组合理论分散风险、稳定收益的可行性。This paper presents the study on selection of optimal investment strategy which is based on the historical data of Chinese stock and bond markets from 2004 to 2006 and 2009 to 2010, The objective function of maximizing the expected utility with the constraint of Value at Risk （VaR） less than a constant was established. Stochastic simulation with the help of MATLAB was applied to analysis the investment portfolio selection of the investors with different degree of risk aversion. Finally, the feasibility of decreasing investment risk and providing steady income by using portfolio theory in China＇s capital market was discussed.

关 键 词：VAR 资产组合 效用函数 风险偏好 财富值 MATLAB 

分 类 号：F224[经济管理—国民经济] F832.51