基于CVaR约束的指数组合优化模型及实证分析

随着指数衍生产品日益受到重视,指数化投资组合常被投资者或机构所采用,而用有限的资金按指数构成比例进行投资显然是不现实的,所以指数的最优误差追踪就显得更加重要。本文将追踪误差定义为证券投资组合收益率与所追踪的指数基准收益率之差,并在分析CvaR(ConditionalValue at Risk)的基础上,在无交易费用和有交易费用的情况下,建立了基于CVaR约束的追踪误差最小化的指数组合优化模型,对指数进行复制,并通过实证分析,得出了基于CVaR约束的追踪误差最小时的样本期内及样本期外的最优投资策略,验证了CVaR约束控制风险的有效性。

Index Portfolio Optimization Model with CVaR Constraints and a Practical Analysis

With the index derivative production are paid attention to day and day,index portfolio are often used by investor or financial setup,but it is not real that investors invest index according to the proportion of index fund-construction with limited fund in number,so the minimum tracking error of index is becoming increasingly immportant In this paper,the tracking error is defined as the absolute deviations of the return ratio of portfolio and the benchmark of index by analysing CVaR(Conditional Value at Risk),portfolio models of the minimum tracking error with transaction cost and without transaction cost is established in CVaR constraints.The optimal portfolio's strategy is analyzed to replicate index.In a practical sample,the efficiency of the CVaR constraints in risk controlling is given.