【摘要】 研究基金管理人如何配置风险资本以抵御来自资产组合收益风险的问题。建立基金管理人确定风险资本的模型,给出关于投资组合收益率分布函数的最小风险资本比率。用跳跃-扩散过程来描述市场收益率,在此基础上建立基金的投资组合的收益率模型,并给出模型参数的估计方法。利用随机模拟方法获得投资组合收益率的模拟样本,可以获得投资组合收益率的经验分布,进而计算最小风险资本率。用模拟方法获得的投资组合收益率的经验分布可以克服用常方差正态分布假设的误差。本文的结果对基金管理人的风险管理具有指导意义。更多还原

【Abstract】 This paper studies how a fund manager allocates properly the capital at risk of asset portfolio. A model of (allocation) of capital at risk is constructed, and the relation between minimum ratio of capital at risk and portfolio return (distribution) function is given, which is related with market return that is modeled with jump-diffusion process, and the (parameters) of the model can be obtained by means of likelihood estimation. With simulation technology, the empirical (distribution) function of portfolio return and the maximum ratio of capital at risk can be obtained, and this method can (overcome) the shortcoming of hypothesis of normal distribution of constant variance. The method and the result of this paper can be helpful of risk management for fund managers.更多还原