基于CVaR的风险平价投资策略及其应用  

CVaR-Based Risk Parity Portfolio Strategy and Its Application

作　　者：盛积良 陈兰兮 温润林 SHENG Jiliang;CHEN Lanxi;WEN Runlin(Schoolof Statisticsand Data Science,Jiangxi University of Financeand Economics,Nanchang 330013;Schoolof Software&Internetof Things Engineering,Jiangxi University of Financeand Economics,Nanchang 330032)

机构地区：[1]江西财经大学统计与数据科学学院,南昌330013 [2]江西财经大学软件与物联网工程学院,南昌330032

出　　处：《系统科学与数学》2024年第8期2257-2277,共21页Journal of Systems Science and Mathematical Sciences

基　　金：国家自然科学基金项目(71973056,71561011);国家自然科学基金重点项目(71531003)资助课题。

摘　　要：由于在险价值(VaR)度量尾部损失风险时不满足次可加性等性质,文章建立基于条件在险价值(CVaR)的风险平价投资组合模型,通过数值计算给出投资组合策略实现方法.以夏普比率、最大回撤和卡玛比率作为业绩评价指标,将基于CVaR的风险平价投资策略与常见的投资组合策略进行对比,数值实验结果表明,风险平价类策略的综合表现相较于等权组合投资策略、最大夏普组合投资策略与全局最小方差组合投资策略更具有鲁棒性.而在三种风险平价策略中,基于CVaR的风险平价投资策略在风险控制方面存在优势,其收益与风险分散效果显著提高.鲁棒性测试结果也表明,基于CVaR的风险平价投资策略能够在面对不同情况时仍然保持稳定性和有效性.Due to the non-subadditivity property of value-at-risk(VaR)when measuring tail loss risk,we propose a risk parity investment portfolio model based on conditional value-at-risk(CVaR)and provide a numerical calculation method for implementing the investment portfolio strategy.Using Sharpe ratio,maximum drawdown,and Calmar ratio as performance evaluation indicators,the risk parity investment strategy based on CVaR is compared with common investment portfolio strategies.Numerical experimental results indicate that the comprehensive performance of the risk parity strategy is more robust than the equal-weight investment portfolio strategy,the maximum Sharpe ratio investment strategy,and the global minimum variance investment strategy.Among the three risk parity strategies,the CVaR-based risk parity investment strategy has advantages in risk control,significantly improving both return and risk diversification effects.The robustness test results also suggest that the CVaR-based risk parity investment strategy can maintain stability and effectiveness in different situations.

关 键 词：投资组合 风险平价策略 条件在险价值 资产配置 

分 类 号：F832.51[经济管理—金融学]