【摘要】 将基于WCVaR风险控制问题转化为一个最小-最大-最小的投资组合问题,改进传统目标函数仅对投资期末风险水平进行控制的方法,建立对整个投资过程进行风险控制的目标模型以及动态投资组合优化模型.利用向量自回归和蒙特卡罗模拟方法给出计算最优投资策略的计算步骤.最后结合我国金融市场历史数据进行实证研究和敏感性分析.结果表明,该投资组合模型具有实用性.此外,通过敏感性分析得出,在进行投资组合时需根据资本市场态势指标(如股票指数)设定合理的目标财富值,同时加以适当的风险约束,可实现资产组合最优化.更多还原

【Abstract】 In this paper,we transform the risk control problem based on the worst-case conditional Valueat -risk(WCVaR) into a portfolio selection problem of minimum-maximum-minimum form,and improve the traditional method of only controlling the terminal risk level for the objective function.We obtain an objective model considering the overall investment period’s risk level and derive a dynamic optimal portfolio model.By applying vector autoregressive method and Monte Carlo simulation,the concrete steps for solving the optimal investment strategy are presented.Finally,combining with the historical data of China financial market,we investigate our result and analyze the sensitivity of the parameters to the dynamic optimal portfolio model.The result shows that the model we derive has practicability. Moreover,the sensitivity analysis reports that the optimal strategy can be derived if the investor designs a reasonable objective for the wealth according to the indicative index(such as stock index) and provides a correspondingly risk control level.更多还原