基于混合整数规划的VaR历史模拟法的投资组合优化  

Portfolio Optimization in the Application of VaR's Historical Simulation Method Based on Mixed Integer Programming

作　　者：孙树垒[1] 吴士亮[1] 孟秀丽[1] 张庆民[1] 唐润[1] SUN Shu-lei;WU Shi-liang;MENG Xiu-li;ZHANG Qing-min;TANG Run(School of Management Science&Engineering,NUFE,Nanjing 210023,China)

机构地区：[1]南京财经大学管理科学与工程学院,南京210023

出　　处：《科技和产业》2018年第4期116-118,共3页Science Technology and Industry

基　　金：国家自然科学基金项目(71401070);教育部人文社科项目(14YJA630052;15YJC630177);江苏省高校哲学社会科学重点项目(2017ZDIXM062);南京财经大学校级课题(YYJ2013004)

摘　　要：针对VaR的历史模拟法计算速度慢,难于给出最优投资组合的缺陷,建立了两类混合整数规划模型,提高了VaR历史模拟法的计算速度,而且解决了历史模拟法的投资组合优化问题,拓展了历史模拟法的应用。实例计算表明,该方法求解方便、有效,模型对于企业风险管控具有一定应用价值。Aiming at the defects of slow speed of calculation and failure to give the optimal portfolio in the application of VaR’s historical simulation method,two types of mixed integer programming model are established.Thus,the speed of calculating is improved,and the problem of failing to give the optimal portfolio in the application of VaR’s historical simulation method is solved.As a result,the application of historical simulation method of VaR is expanded.Living example using the two models shows that the presented models are convenient and effective.The models have certain significant for enterprise risk control.

关 键 词：混合整数规划 风险价值 历史模拟法 投资组合 

分 类 号：F830.91[经济管理—金融学]