本文選題：投資組合優(yōu)化　切入點(diǎn)：VaR　出處：《華中師范大學(xué)》2014年碩士論文

【摘要】：金融風(fēng)險(xiǎn)研究的重要組成之一是Markowitz的投資組合理論。投資組合理論的發(fā)展過(guò)程主要包括了均值-方差模型,以及均值-VaR和均值-CVaR方法。目前,國(guó)際上對(duì)VaR(風(fēng)險(xiǎn)價(jià)值)的研究已經(jīng)有很多系統(tǒng)化的理論,然而不可忽視的是,絕大部分投資者是風(fēng)險(xiǎn)厭惡的,他們?cè)谕顿Y的過(guò)程中會(huì)更關(guān)注損失,而絕非收益,因此急需建立一個(gè)與資產(chǎn)損失直接相關(guān)的損失函數(shù),使得在控制了損失的情況下取得最大收益,這樣的方法更簡(jiǎn)單直觀,也更切合投資者的心理。弗羅里達(dá)大學(xué)的三位學(xué)者因此提出了一個(gè)新的風(fēng)險(xiǎn)度量工具—DaR。首先它的概念很簡(jiǎn)單,又同時(shí)滿(mǎn)足不少很好的性質(zhì),吸引了眾多研究者的關(guān)注,在國(guó)外已經(jīng)是金融風(fēng)險(xiǎn)管理的研究前沿,關(guān)于它的研究發(fā)展非常迅速。 本文通過(guò)介紹VaR, CVaR, CDaR的定義和特性,羅列了它們的優(yōu)缺點(diǎn),并比較了將條件風(fēng)險(xiǎn)價(jià)值和條件風(fēng)險(xiǎn)跌幅兩種理論應(yīng)用于組合選擇的問(wèn)題的處理技巧,主要介紹和研究單參數(shù)風(fēng)險(xiǎn)度量模型中的CDaR (conditional drawdown-at-disk)方法,這一風(fēng)險(xiǎn)度量工具量化的是,在一定時(shí)期內(nèi),投資組合在特定樣本路徑上的下跌頻率和幅度。CDaR (?)通過(guò)將一個(gè)投資組合優(yōu)化模型表述為一個(gè)線(xiàn)性規(guī)劃(LP)的問(wèn)題,實(shí)現(xiàn)了高效和穩(wěn)健的投資組合分配算法,使得處理成千上萬(wàn)的優(yōu)化問(wèn)題工具和方案成為了可能。
[Abstract]:One of the important components of financial risk research is the portfolio theory of Markowitz. The development process of portfolio theory mainly includes mean-variance model, mean-VaR and mean-CVaR methods. There have been many systematic theories on VaR (risk value) in the world. However, it can not be ignored that most investors are risk-averse, and they will pay more attention to the loss, not the return, in the process of investment. Therefore, it is urgent to establish a loss function directly related to the loss of assets, so that the maximum benefit can be obtained when the loss is controlled. This method is simpler and more intuitive. Three scholars at the University of Florida have therefore proposed a new risk measurement tool, DaR.First, its concept is very simple, and at the same time it satisfies a lot of good properties, and it has attracted the attention of many researchers. It has been the frontier of financial risk management research abroad, and the research on it is developing very quickly. This paper introduces the definitions and characteristics of VaR, Cvar, and CDaR, lists their advantages and disadvantages, and compares the techniques of applying the theory of conditional risk value and conditional risk decline to the problem of combination selection. This paper mainly introduces and studies the CDaR conditional drawdown-at-disk method in a single parameter risk measurement model. The risk measurement tool quantifies the fall frequency and amplitude of the portfolio on a given sample path over a certain period of time. By describing a portfolio optimization model as a linear programming (LP) problem, an efficient and robust portfolio allocation algorithm is implemented, which makes it possible to deal with thousands of optimization tools and schemes.
【學(xué)位授予單位】：華中師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F224;F830.91

【參考文獻(xiàn)】

相關(guān)期刊論文 前7條

1 劉小茂,李楚霖,王建華;風(fēng)險(xiǎn)資產(chǎn)組合的均值—CVaR有效前沿(Ⅰ)[J];管理工程學(xué)報(bào);2003年01期

2 顏立軍;唐邵玲;;基于CD_aR的投資組合優(yōu)化模型[J];華東交通大學(xué)學(xué)報(bào);2006年02期

3 蔣望東,李勝宏;帶交易價(jià)格限制的CDaR風(fēng)險(xiǎn)測(cè)量方法[J];技術(shù)經(jīng)濟(jì)與管理研究;2005年03期

4 高榮興;證券組合選擇的優(yōu)化方法[J];數(shù)量經(jīng)濟(jì)技術(shù)經(jīng)濟(jì)研究;2001年09期

5 田新民,黃海平;基于條件VaR(CVaR)的投資組合優(yōu)化模型及比較研究[J];數(shù)學(xué)的實(shí)踐與認(rèn)識(shí);2004年07期

6 蔣望東;風(fēng)險(xiǎn)測(cè)量方法VaR及其修正模型[J];紹興文理學(xué)院學(xué)報(bào);2005年01期

7 秦璇;;投資組合風(fēng)險(xiǎn)管理中CDaR模型研究[J];統(tǒng)計(jì)與決策;2006年17期

，

本文編號(hào)：1669927