基于双因子定价模型的投资组合风险价值的多分辨率特征研究

为了识别金融市场投资风险的多分辨率特征及优化投资组合,以资本市场风险和汇率市场风险为双因子定价模型的风险因子,利用小波方差及协方差无偏估计量,给出了单个资产风险因子敏感度多分辨率计算方法,以此为基础还得到了投资组合的风险值(VaR)及其边际风险值(MVaR)的多分辨率分解公式.对上证A股市场的实证分析表明投资组合的风险价值及边际风险价值依赖于投资时限,短线投资潜在的损失比长线投资要大;进一步分析表明中国股市存在多分辨率风险特征,这种风险特点可能是由市场系统风险和汇率风险以及异质性投资活动共同作用的结果.研究还发现多分辨率边际风险价值是确定多分辨率投资组合优化模型求解的重要条件之一.

The Research on Multiresolution Characteristics of Investment Profolio Value at Risk Based on Double Factor Pricing Model

In order to recognise the multi-resolution characteristics of the financial market investment risk and optimize investment profolio,the paper takes the capital market risk and exchange rate market risk as two factors of the double-fictor pricing model.Using the wavelet variance and the covariance unbiassed estimator,it has given multi-resolution computational method for the risk factor sensitivity.From this,it also obtains multi-resolution decomposition formulas for the investment profolio Value at Risk(VaR) and Marginal Value at Risk(MVaR).The resualt of the empirical analysis to Shanghai A share market supports the investment profolio VaR and MVaR rely on the investment horizon and the latent loss of the short term investment must be bigger than that of the long-term investment.Further analysis indicates Chinese Stock market has the multi-resolution risk characteristics,which is possibly a result of affects simutaneously the market system risk and the exchange rate risk as well as heterogeneous investment.The study also shows that the multi-resolution MVaR is one of important constraint conditions determining the solution for the multi-resolution investment profolio optimization model.