金融风险的最坏VaR方法与投资组合优化 |
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引用本文: | 罗桂美. 金融风险的最坏VaR方法与投资组合优化[J]. 数学的实践与认识, 2014, 0(5) |
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作者姓名: | 罗桂美 |
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作者单位: | 广东金融学院应用数学系; |
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基金项目: | 国家自然科学基金(10771057);广东金融学院校级科研项目(13XJ02-10) |
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摘 要: | 在股价及其走势均不确定的情况下,采用最坏VaR方法,对投资的潜在损失进行最保守的度量,并得到其等价的优化形式为一个二阶锥优化问题.接着考虑相应的投资组合优化问题:如何选择合适的头寸,使得当股票组合的期望收益达到给定水平的情况下,风险最低,即最坏VaR值最小,最后对模型进行实证分析.
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关 键 词: | 最坏VaR 二阶锥优化 投资组合优化 |
Worst-case VaR in Financial Risk Measure and Portfolio Optimization |
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Abstract: | In this work,we consider the worst-case Value-at-Risk(VaR) as a risk measure without the information on prices or tendencies of stocks.We obtain a result that its tractable and equivalent representation can be converted to an second-order cone programming.Then we investigate a corresponding portfolio selection problem,that is,for a given level of expected return,how to allocate the capital so that the the worst-case VaR is minimized.Furthermore,we report some numerical experiments for portfolio optimization. |
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Keywords: | Worst-case VaR second-order cone programming portfolio optimization |
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