基于摩擦因素和风险价值的可能性组合投资模型  

Research on the Possibility of Portfolio Investment Model Based on Friction Factor and Value at Risk

作　　者：景永强[1] 曹咏弘[1] 李阿娜[1] JING Yong-qiang CAO Yong-hong LI A-na(School of Science, North University of China, Taiyuan 030051, China)

机构地区：[1]中北大学理学院,太原030051

出　　处：《重庆理工大学学报（自然科学）》2017年第3期158-164,共7页Journal of Chongqing University of Technology：Natural Science

基　　金：电子测试技术国家重点实验室基金资助项目(9140C120401080C12);中北大学科学基金资助项目(201406)

摘　　要：研究了在摩擦市场因素的条件下基于可能性分布理论的组合投资问题,提出了基于摩擦市场因素和风险价值理论的可能性组合投资模型。实证研究结果表明:摩擦市场因素的变动对组合投资风险具有一定的影响,基于摩擦市场因素和风险价值理论的可能性组合投资模型更符合实际的投资风险情况。本研究为投资者选择更适合的投资策略提供参考。The portfolio investment based on the possibility distribution theory under the condition of the friction market was studied,and a possibility portfolio investment model was proposed. The empirical study shows that the change of the market friction factor affects the investment portfolio.Thus,the portfolio investment model based on the friction market factor and the VaR theory is more suitable for the actual investment risk,so as to provide a reference for the investor to choose a more suitable investment strategy.

关 键 词：可能性理论 摩擦因素 风险价值 组合投资 

分 类 号：O21[理学—概率论与数理统计] F830[理学—数学]