基于时间加权历史模拟法的VaR来构建最优投资组合  

Constructing the Optimal Portfolio Based on VaR of Time-Weighted History Simulation Method

作　　者：李兴奇 王汉权[1] 干文[2] 

机构地区：[1]云南财经大学统计与数学学院,昆明 [2]云南财经大学国际工商学院,昆明

出　　处：《统计学与应用》2014年第3期107-115,共9页Statistical and Application

基　　金：云南省科技厅中青年学术带头人后备人才基金;教育部新世纪优秀人才基金等赞助。

摘　　要：假设收益率服从正态分布时,均值–方差模型常被用于构建最优投资组合。但很多情况下,收益率并不服从正态分布。本文首先构造股票投资价值的衡量指标,根据指标对股票的优劣进行排序;然后利用时间加权历史模拟法来计算投资组合的VaR,建立相应的均值-VaR模型;最后利用均值-VaR模型构建中国股票市场的最优投资组合,预测最优投资组合的风险。此方法可有效避免收益率服从正态分布的假定。On the assumption that yields obey the normal distribution, mean-variance model is frequently used in the optimal portfolio;but in many cases, yields don’t obey the normal distribution. Firstly, we construct a measure index of stock investment value and sort the merits of stock by the index. Then the VaR of portfolio is calculated by using the time-weighted history simulation method and Mean-VaR model is built accordingly. Finally, the optimal portfolio of Chinese stock market is con-structed by using the Mean-VaR model, and the risk of optimal portfolio is predicted. The assump-tion of normal distribution can be avoided effectively by using this method.

关 键 词：最优投资组合 均值–方差模型 历史模拟法 均值-VAR模型 

分 类 号：F2[经济管理—国民经济]