条件收益率下的VaR投资组合研究

本文以新的VaR风险控制体系和价格条件的VaR理论为基础,建立了一种新的最优投资组合模型——μ_s-VaR_s模型。其主要特点有:首先,μ_s-VaR_s模型主要关注相对价格的预期收益和风险,在没有股指期货对冲大盘指数风险的条件下,该模型可以为投资组合跑赢大盘提供了科学思路;其次,在μ_s-VaR_s风模型中,仿照夏普指数创建出了新的选股指标γ_s_i(t),使投资组合更有效率;最后,μ_s-VaR_s模型充分考虑了沪深股票市场的交易成本和交易条件限制,使模型具有较强的现实可用性.经过对沪深股票市场的实证分析发现:μ_s-VaR_s模型明显优于马柯威茨的M-V模型;应用μ_s-VaR_s模型所构建的投资组合的累积收益率显著高于大盘的同期累积收益率.

The Portfolio Study on Base of Conditioned VaR

In this paper,based on a new risk-controlling system of VaR and the theory of price- conditioned VaR,a new optimal portfolio model,namely theμ_s-VaR_s model is set up.Theμ_s-VaR_s model has some main characteristics as follows,Firstly,Theμ_s-VaR_s model mainly consideres the expected return and risk of relative price,and provides a scientific way for portfolio to win over market index,when there is no stock index futures to counteract risk of market index;Secondly,in theμ_s-VaR_s model,similar to the Sharp index,a new index of stock selection in portfolio--namelyγ_s_i(t)is suggested, the can make the portfolio more efficient;Finally,Theμ_s-VaR_s model fully consideres the exchange costs and limiting factors in Shanghai and Shenzhen stock markets,thus it is more usable in practice.Through theμ_s-VaR_s and M-V being actually applied to Shanghai and Shenzhen stock markets and compared with each other,we find that:theμ_s-VaR_s model is better than Markowitz's;the accumulative return of portfolio fromμ_s-VaR_s model is significantly higher than the market index's in the same period.