【摘要】 Va R是一种在市场正常波动情形下对证券组合的可能损失进行统计测度的风险测量方法。论文首先将 Va R概念引入保险基金投资领域 ,进而利用随机最优化技术 ,研究了如何确定一个满足 Va R限制以及期望收益最大化的保险基金的最优投资组合。更多还原

【Abstract】 Value at Risk is an important method of risk management, which can measure possible exposure of a given portfolio of securities in financial markets. In this paper, we first introduced the notion of VaR into the investment of insurance fund, then adapted a stochastic optimization method and studied how to find a portfolio among given set of securities which would provide the maximal yield and at the same time satisfy the constraints on value at risk.更多还原