本文選題：投資組合 + VaR�。� 參考：《重慶大學》2014年碩士論文

【摘要】：投資組合理論研究的是如何進行投資決策，將資金按一定比例分配到不同的風險資產(chǎn)上，在獲取一定收益的同時又達到分散風險的目的。理性的投資者以追求期望效用最大化為目標，，在可承受風險水平下獲取最大收益或預期收益目標。風險與收益是息息相關、密不可分的。均值-方差模型(簡稱MV模型)是投資組合理論的基礎，其他形式的投資組合模型大多以它為基礎拓展而得。均值-方差模型以資產(chǎn)收益率的均值來反映投資收益，以收益率的方差來描述風險。 VaR和CVaR方法是近些年被廣泛使用的風險測量方法。本文將CVaR方法與均值-方差模型相結合，構建了均值-CVaR模型，以CVaR代替方差刻畫了收益率時間序列的尾部風險的大小，并通過線性規(guī)劃求解方法，計算出最優(yōu)的投資組合權重。本文還將均值-CVaR模型運用到國內(nèi)的證券市場，實證分析結果表明均值-CVaR模型不僅對國內(nèi)的證券市場適用，而且可有效地描述和分散投資組合的潛在風險。 本文的選題具有一定的理論意義和實用價值。均值-CVaR模型既可以幫助投資者實現(xiàn)資產(chǎn)的最優(yōu)合理配置，還可以對投資風險進行測量，并通過選擇不同的置信水平來控制風險，得到不同的投資組合有效前沿。本文采用歷史模擬法，將均值-CVaR模型運用到我國證券市場，進行投資組合優(yōu)化的實證分析，并通過一定時期對模型效果的觀察，驗證了該模型在中國證券市場的適用性。
[Abstract]:Portfolio theory studies how to make investment decisions and allocate funds to different risk assets according to a certain proportion to achieve the goal of dispersing risks while obtaining certain income. Rational investors aim to maximize the expected utility and obtain the maximum return or expected return under the risk tolerance level. Risk and income are closely related and inseparable. Mean-Variance Model (MV Model) is the basis of portfolio theory, and most other forms of portfolio models are based on it. The mean-variance model reflects the return on investment by the average of the return on assets, and describes the risk by the variance of the return. VaR and Cvar are widely used risk measurement methods in recent years. In this paper, we combine the Cvar method with the mean-variance model, construct the mean-CVaR model, and use CVaR instead of variance to characterize the tail risk of the yield time series, and calculate the optimal portfolio weight by linear programming solution method. This paper also applies the mean-CVaR model to the domestic securities market. The empirical results show that the mean-CVaR model is not only applicable to the domestic securities market, but also can effectively describe and disperse the potential risks of the portfolio. The topic of this paper has certain theoretical significance and practical value. Mean-CVaR model can not only help investors achieve the optimal and reasonable allocation of assets, but also measure the investment risk, control the risk by choosing different confidence levels, and obtain the effective frontier of different portfolio. In this paper, the mean value CVaR model is applied to the stock market in China, and the empirical analysis of portfolio optimization is carried out, and the applicability of the model is verified by observing the effect of the model in a certain period of time.
【學位授予單位】：重慶大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F830.59;F224

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相關期刊論文 前2條

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本文編號：2027718