【摘要】 利用均值-VaR方法,提出了有交易费用存在时的最优投资组合模型。通过求解均值-方差模型来研究均值-VaR模型的有效前沿,并指出在收益率的分布为正态分布的假设下,均值-VaR模型的有效集是均值-方差有效前沿的子集。有关全局最小VaR的存在性的分析显示在选择VaR的置信水平时必须非常小心。最后给出了应用均值-VaR模型的实例分析。更多还原

【Abstract】 Using mean-VaR approach,We propose the optimization model of portfolio with transaction costs.We study the different efficient frontiers of Mean-variance model obtained by solving mean-VaR model,and show that the Mean-VaR efficient set are subset of the Mean-Variance efficient frontier under assumption that returns are normally distributed. A characterization of the existence of the golbal minimum VaR portfolio suggests that one must be careful in choosing the confidence level at which VaR is determined. Finally,an issustration is given to show the application of Mean-VaR model.更多还原