| CVaR风险度量模型在投资组合中的运用 |
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| 引用本文： | 陈剑利,李胜宏.CVaR风险度量模型在投资组合中的运用[J].运筹与管理,2004,13(1):95-99. |
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| 作者姓名： | 陈剑利 李胜宏 |
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| 作者单位： | 浙江大学,数学系,浙江,杭州,310027 |
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| 基金项目： | 国家自然科学基金资助项目(A0325103) |
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| 摘 要： | 风险价值(VaR)是近年来金融机构广泛运用的风险度量指标，条件风险价值(CVaR)是VaR的修正模型，也称为平均超额损失或尾部VaR，它比VaR具有更好的性质。在本中，我们将运用风险度量指标VaR和CVaR，提出一个新的最优投资组合模型。介绍了模型的算法，而且利用我国的股票市场进行了实证分析，验证了新模型的有效性，为制定合理的投资组合提供了一种新思路。
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| 关 键 词： | 运筹学 投资组合 线性规划 CVaR 风险度量模型 风险价值 |
| 文章编号： | 1007-3221(2004)01-0095-05 |
| 修稿时间： | 2003年7月4日 |
An Application of CVaR Models in the Portfolio |
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| CHEN Jian-li,LI Sheng-hong.An Application of CVaR Models in the Portfolio[J].Operations Research and Management Science,2004,13(1):95-99. |
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| Authors: | CHEN Jian-li LI Sheng-hong |
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| Abstract: | Value-at-Risk (VaR) is a widely used risk measure index by financial institution in recent years. Conditional Value-at-Risk (CVaR) is the revised model of VaR, also called Mean Excess Loss or Tail VaR with better properties. In this paper, we'll put forward a new optimal portfolio model by using risk measure index VaR and CVaR. We introduce the algorithm of our model and a case study for our stock market is performed to demonstrate how the new optimization techniques can be implemented. It provides a new idea for establishing a rational portfolio. |
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| Keywords: | operations research portfolio linear programming CVaR demonstration analysis VaR |
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