基于均值-VaR-熵的证券投资组合应用研究  

The Research of Application in Portfolio Based on Mean-VaR-Entropy

作　　者：印凡成[1] 陈瑞冰[1] 黄健元[2] 

机构地区：[1]河海大学理学院,南京210098 [2]河海大学公共管理学院,南京210098

出　　处：《重庆理工大学学报（自然科学）》2013年第3期118-121,130,共5页Journal of Chongqing University of Technology：Natural Science

基　　金：中央高校基本科研业务费重点项目(2010B28514)

摘　　要：为研究证券最优投资组合问题,从投资组合理论的风险度量着手,用VaR和熵来共同度量风险,提出新的风险度量模型:均值-VaR-熵模型。在证券收益率服从非正态分布的假设下,以VaR和叉熵的线性组合为最小目标函数,预期收益率为约束条件,构建考虑交易成本、不允许卖空的基于均值-VaR-熵的证券投资组合模型,探讨证券投资选择及比例分配问题,并利用实际数据求得该模型的最优解及各证券的分配比例。结果表明,多元化投资是证券投资者在风险最小的情况下实现预期收益目标的必然选择。In order to research the optimal portfolio problem,the article starts from the risk measurement of portfolio theory,uses the VaR and entropy to measure risk,and proposes a new risk measurement model: mean-VaR-entropy model.In the context of abnormal distribution return rate,using the linear combination of VaR and cross-entropy function as the minimum objective function,expected return rate as a constraint,based on the mean-VaR-entropy,we build the portfolio model without short sales,considering transaction costs,constraints,and discuss the selection of investment and the allocation of investment ratio.And we use the actual data to obtain the optimal solution of the model and the allocation ratio.The results show that diversification is the inevitable choice for investors facing the minimum risk to achieve the purpose of expected return.

关 键 词：非正态分布 均值-VaR-熵模型 投资组合 收益率 

分 类 号：O21[理学—概率论与数理统计]