引入风险价值约束的投资组合理论  

Portfolio Theory Introducing a Value-at-Risk (VaR) Constraint

作　　者：罗洪浪[1] 王浣尘[1] 罗洪浪 王浣尘[1] 

机构地区：[1]上海交通大学安泰管理学院，上海200052

出　　处：《上海交通大学学报》2004年第3期441-444,共4页Journal of Shanghai Jiaotong University

摘　　要：风险价值(VaR)是近年来最为流行的风险管理工具.本文在无风险证券情形下,将VaR约束引入到传统的均值-方差投资组合理论中,考察了此时投资组合的有效前沿以及投资组合选择的变化,并指出了VaR约束对证券投资基金组合管理的意义.Value-at-risk(VaR) has become the most popular risk management tool. With riskfree securities in the economy, this paper examined some changes of portfolio's efficient frontier and of portfolio selection when a VaR constraint is introduced into the traditional mean-variance portfolio theory, and presented the implications of VaR constraint for equity investment funds' portfolio management.

关 键 词：风险价值约束 有效前沿 投资组合选择 

分 类 号：F830.91[经济管理—金融学]