CVaR风险度量模型在投资组合中的运用  

An Application of CVaR Models in the Portfolio

作　　者：陈剑利[1] 李胜宏[1] 

机构地区：[1]浙江大学数学系,浙江杭州310027

出　　处：《运筹与管理》2004年第1期95-99,共5页Operations Research and Management Science

基　　金：国家自然科学基金资助项目(A0325103)

摘　　要：风险价值(VaR)是近年来金融机构广泛运用的风险度量指标,条件风险价值(CVaR)是VaR的修正模型,也称为平均超额损失或者尾部VaR,它比VaR具有更好的性质。在本文中,我们将运用风险度量指标VaR和CVaR,提出一个新的最优投资组合模型。介绍了模型的算法,而且利用我国的股票市场进行了实证分析,验证了新模型的有效性,为制定合理的投资组合提供了一种新思路。Value-at-Risk (VaR) is a widely used risk measure index by financial institution in recent years. Conditional Value-at-Risk (CVaR) is the revised model of VaR, also called Mean Excess Loss or Tail VaR with better properties. In this paper, we'll put forward a new optimal portfolio model by using risk measure index VaR and CVaR. We introduce the algorithm of our model and a case study for our stock market is performed to demonstrate how the new optimization techniques can be implemented. It provides a new idea for establishing a rational portfolio.

关 键 词：运筹学 投资组合 线性规划 CVAR 风险度量模型 风险价值 

分 类 号：F830.59[经济管理—金融学] O221.1[理学—运筹学与控制论]