兰州大学机构库 >数学与统计学院
基于CVar的投资组合模型
Alternative TitlePortfolio Selection Model on CVaR
薛江
Thesis Advisor牛明飞
2008-05-25
Degree Grantor兰州大学
Place of Conferral兰州
Degree Name硕士
Keyword投资组合选择模型 CVaR 市场摩擦 MAD 风险控制
Abstract为了克服现有国内股票市场证券投资组合投资方法和风险度量方法的不足,本文基于比较先进的风险度量方法CVaR,并同时兼顾多种市场摩擦因素,建立了一种新型的证券投资组合管理模型,并对新模型进行了定量求解和实证对比测试。在结合中国证券市场数据与实际运行的社保基金一零九投资组合实证对比测试后,新模型的组合收益提高,并且对新组合结果的VaR测试中表明新模型把风险控制在了理想的范围之内,表明新模型可帮助投资者寻求稳健的最佳投资方案,并且可以为风险控制和监管提供可行的建议;在与基于绝对偏差的MAD模型的对比测试中,新模型亦具有投资分布合理、收益显著提高和控制风险能力较强等良好的特性。新模型不仅能合理反映不同投资约束对最优投资决策的影响,而且可以为投资者提供理想的投资建议。
Other AbstractTo overcome shortcomings of existing portfolio selection models, established in this paper is an new model which utilizes the advanced risk measure CVaR and takes into consideration several market frictions simultaneously. Basing trading data from the China Stock Market and practical portfolio of social security fund, empirical results show that the proposed new model can not only properly reflect the effect of different investment constraints on the optimal investment decision, but be helpful for investors to find robust optimal portfolio. The new portfolio selection model also have superior properties when compared with the corresponding portfolio selection model basing on the absolute deviation.
URL查看原文
Language中文
Document Type学位论文
Identifierhttps://ir.lzu.edu.cn/handle/262010/225248
Collection数学与统计学院
Recommended Citation
GB/T 7714
薛江. 基于CVar的投资组合模型[D]. 兰州. 兰州大学,2008.
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