【作者】 王锦玉；

【导师】 杨永愉；

【作者基本信息】 北京化工大学 ， 应用数学， 2007， 硕士

【摘要】 基于VaR约束下的投资组合决策模型，是在原有的马科维茨投资组合理论的基础上发展起来的，为投资组合理论的研究开辟了新天地。这一模型的产生使得人们的投资观念发生了很大变化，在投资过程中，可以应用VaR对投资对象事前进行风险测量，可以提高风险防范的作用。本文应用的动态优化投资组合模型是在VaR的约束下，调整投资组合的配置，使期望收益达到最大。基于投资组合中每一种资产的收益率序列，模型可以在不断增长的数据窗口下，首先通过多种方法估计模型参数，然后求解优化模型，得到每日投资组合中风险资产在VAR约束下的最优配置和借贷比率。这种方法对构筑新的风险资产投资组合的决策，以及对已有投资组合中资产配置的优化具有重要的指导意义。该论文对VaR模型的实证分析选取中国A股市场的四只股票，在收益率服从正态分布的假定下，确定投资组合中的资产配置以及借贷比率，并且讨论了模型参数的敏感性以及模型的有效性。更多还原

【Abstract】 Dynamic optimal portfolio in a VaR framework developed on the Markowitz’s portfolio theory, it create a new field for investigation of the portfolio theories. Dynamic optimal portfolio in a VaR framework made a great change in investment view of the people. We can measure the risk of the object in investment use VaR in advance, which enhance effect for keep risk away.A dynamic portfolio model that maximizes expected returns subject to a Value-at-Risk constraint by adjusting the set of portfolios weights, has been investigated. Parameters of the model were first investigated by several methods based on the return serials of each financial asset in the portfolio along with the moving of the data windows. Then, by solving for the optimal model, the best daily allocations of the optimal portfolio and the rate of borrowing and lending subject to a Value-at-Risk constraint were obtained. The results are of value in setting up a new risk portfolio and optimizing the daily portfolio allocations. Four shares in Chinese A stock market were selected and, with the assume of a normal distribution of the returns, the daily portfolio allocations and the rate of borrowing and lending were obtained. The sensitivity of the model parameters are also discussed in this paper.更多还原