基于VaR约束不允许卖空的均值-方差投资组合优化  

Optimization of risk asset portfolio selection without short sales based on constraint of VaR

作　　者：张鹏[1] 

机构地区：[1]武汉科技大学管理学院,湖北武汉430081

出　　处：《武汉科技大学学报》2012年第1期73-76,共4页Journal of Wuhan University of Science and Technology

基　　金：教育部人文社会科学研究资助项目(08JC630062);湖北省社会科学基金"十一五"规划资助项目([2010]102);湖北省自然科学基金资助项目(2010CDB03304)

摘　　要：提出基于风险价值(VaR)约束且不允许卖空的均值-方差投资组合模型,结合序列二次规划方法和不等式组的旋转算法,计算出不同最低收益率所对应的最优投资策略。采用实例验证了上述算法的有效性,并证明在一定条件下,引入VaR约束条件可以降低投资风险。This paper proposes a model of mean variance portfolio selection without short sales based on constraints of VaR. The optimal investment rate with expected returns is calculated by the sequence of quadratic programming and the pivoting algorithm. A numerical example is used to validate the proposed method, and the introduction of constraints based on VaR is proved to be able to help reduce investment risk.

关 键 词：投资组合 卖空 风险价值 序列二次规划 旋转算法 

分 类 号：F830.91[经济管理—金融学]