基于GARCH-EVT-Dynamic CVaR-LP最优投资组合及实证研究 Alternative Title Optimal Portfolio And Application Based On GARCH-EVT-Dynamic-CVaR-LP Methods 介艺妮 Thesis Advisor 介艺妮 2014-05-31 Degree Grantor 兰州大学 Place of Conferral 兰州 Degree Name 硕士 Keyword 动态VaR 动态CVaR值 极值理论 线性规划 投资组合 Abstract 风险管理和投资组合研究是金融工程的两大热门问题，本文将利用GARCH-EVT-Dynamic CVaR-LP模型对这两个问题进行综合研究，并利用黄金和美元指数数据进行实证,取得很好的模拟结果. 极值理论和GARCH模型可以很容易的解决金融资产中一类数据的波动集聚性和厚尾性，并且这两种理论在解决问题时各具优势。本文在合理运用这两种理论知识时，又引入Dynamic CVaR 的概念和计算方法，计算出单一资产美元指数和黄金的VaR，CVaR，动态VaR 和动态CVaR值。又创造性的将LP模型和GARCH-EVT-Dynamic CVaR 结合，计算出最优投资组合比例，最后根据CVaR 的正齐次性和次可加性，计算出组合资产的CVaR 值，对组合资产的风险进行度量。 Other Abstract Risk management and portfolio research are two hot issues of financial engineering. We used GARCH- EVT-Dynamic CVaR-LP model to analyze these two issues, and then we confirmed our results by testing with gold and the dollar index Empirical data. Our results show that the new model has a good simulation quality. The extreme value theory and GARCH model can easily solve a class of data in financial assert volatility of agglomeration and thick tail, and the two theories each has its advantages in dealing withproblems. We used GARCH model yields sequences, the concept and calculation method of Dynamic CVaR, calculates the dollar index and the gold of VaR, CVaR, Dynamic VaR and Dynamic CVaR value and creativities of a single asset. Moreover, the LP model and GARCH-EVT-Dynamic CVaR were used together to calculate the best investment portfolio ratio, and by using CVaR homogeneous and subadditive, we calculated the combined assets of CVaR Value, and also measured risk portfolio. URL 查看原文 Language 中文 Document Type 学位论文 Identifier https://ir.lzu.edu.cn/handle/262010/225235 Collection 数学与统计学院 Recommended CitationGB/T 7714 介艺妮. 基于GARCH-EVT-Dynamic CVaR-LP最优投资组合及实证研究[D]. 兰州. 兰州大学,2014.
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