本文關(guān)鍵詞：基于VaR和CVaR約束的投資組合模型　出處：《山東大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

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【摘要】：投資組合選擇(Portfolio Selection)是指把財(cái)富分配到不同的資產(chǎn)中,以達(dá)到分散風(fēng)險(xiǎn)、確保收益的目的。1952年,Markowitz用方差來量化股票收益的風(fēng)險(xiǎn),提出了投資組合選擇的均值-方差分析方法,揭開了現(xiàn)代金融學(xué)研究的序幕。 VaR與CVaR風(fēng)險(xiǎn)度量方法有多方面的應(yīng)用,如信用風(fēng)險(xiǎn)的測量、內(nèi)部風(fēng)險(xiǎn)資本金的確定、資本配置、金融監(jiān)管等。VaR與CVaR作為一種測量投資組合風(fēng)險(xiǎn)的新方法近幾年來迅速發(fā)展。目前許多學(xué)者從定義、性質(zhì)、計(jì)算等方面對VaR和CVaR之間進(jìn)行了比較分析,還有的比較了均值VaR、均值一CVaR模型的不同之處,但沒有對基于VaR、CVaR約束的投資組合模型進(jìn)行實(shí)證研究。 本文運(yùn)用理論研究與實(shí)證研究相結(jié)合的方法。全文共分五章,第一章是研究背景及意義,并綜述了國內(nèi)外的研究概況。第二章和第三章分別從總體上介紹了VaR與CVaR風(fēng)險(xiǎn)度量方法的定義、性質(zhì)及其相應(yīng)的均值-VaR和均值-CVaR模型,并對均值-CVaR模型的邊界與有效前沿進(jìn)行了探討,給出了均值-CVaR模型的數(shù)學(xué)表述與圖形形狀。第四章從理論上對VaR和CVaR約束下的投資組合進(jìn)行比較,并結(jié)合幾何知識給出了一種較為簡單的計(jì)算方法。第五章根據(jù)上一章建立的模型進(jìn)行實(shí)證分析,利用幾何方法通過MATLAB編程進(jìn)行求解,得出了不同置信區(qū)間下的投資組合權(quán)重,然后根據(jù)VaR和CVaR作為約束條件所得出的不同權(quán)重在我國證券市場進(jìn)行實(shí)際模擬投資,分析比較所得結(jié)果,得出CVaR比VaR更能體現(xiàn)投資組合的潛在風(fēng)險(xiǎn),更具有安全性的結(jié)論。最后,討論了我國CVaR應(yīng)用研究的問題,并提出了投資組合研究的進(jìn)一步發(fā)展方向。
[Abstract]:Portfolio selection refers to the distribution of wealth among different assets for the purpose of diversifying risk and securing returns. 1952. Markowitz quantifies the risk of stock returns with variance, and puts forward the mean-variance analysis method of portfolio selection, which opens the prelude of modern finance research. VaR and CVaR risk measurement methods have many applications, such as the measurement of credit risk, the determination of internal risk capital, and the allocation of capital. As a new method to measure portfolio risk, financial supervision and CVaR have developed rapidly in recent years. Calculation and other aspects of the comparative analysis between VaR and CVaR, there is a comparison of the mean VaR, the difference between the mean-#en2# model, but not on the basis of VaR. The CVaR-constrained portfolio model is an empirical study. The thesis is divided into five chapters by combining theoretical research with empirical research. The first chapter is the background and significance of the research. Chapter two and chapter three introduce the definition of VaR and CVaR respectively. The properties and the corresponding mean-VaR and mean-CVaR models are discussed, and the boundary and efficient frontier of the mean-CVaR model are discussed. The mathematical representation and figure shape of the mean value CVaR model are given. Chapter 4th compares the portfolio under the constraints of VaR and CVaR theoretically. Combined with geometric knowledge, a relatively simple calculation method is given. Chapter 5th carries on empirical analysis according to the model established in the previous chapter, and uses geometric method to solve it by MATLAB programming. The portfolio weights under different confidence intervals are obtained, and then according to the different weights obtained by VaR and CVaR as constraint conditions, the actual simulated investment in China's securities market is carried out, and the results are analyzed and compared. It is concluded that CVaR can reflect the potential risk of portfolio and is more secure than VaR. Finally, the application research of CVaR in China is discussed. The further development direction of portfolio research is also put forward.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F830.59;F224

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本文編號：1368330