BVaR风险度量下限制性卖空的单位风险收益最大投资组合模型  

The maximum of earnings per risk portfolio model with restricted short selling under BVaR

作　　者：吕小妮[1] 王艳彩[2] 高岳林[2] 

机构地区：[1]西安邮电大学理学院,陕西西安710121 [2]北方民族大学信息与系统科学研究所,宁夏银川750021

出　　处：《山东大学学报（理学版）》2013年第5期92-96,共5页Journal of Shandong University(Natural Science)

基　　金：国家社会科学基金资助项目(07XJY038)

摘　　要：在BVaR风险度量下,提出了限制性卖空的单位风险收益最大投资组合模型,通过罚函数处理机制将模型转化成无约束优化问题,然后运用自适应差分进化算法进行求解。实证分析表明该算法是有效的,将限制性卖空引入到投资组合模型中,有助于扩展投资机会空间,增强市场效率,降低市场风险。In the BVaR risk measure,the maximum of earnings per risk portfolio model with restricted short selling was put forward,and the model was transformed into an unconstrained optimization problem through the penalty function,and then the problem was solved by using adaptive differential evolution algorithm.The empirical analysis shows that the algorithm is effective and the constraint of restricted short selling is reasonable,which contributes to the expansion of investment opportunities,enhances the market efficiency and reduce the market risk.

关 键 词：投资组合 限制性卖空 BVAR 自适应差分进化 

分 类 号：F830[经济管理—金融学]