# 基于时间加权历史模拟法的VaR来构建最优投资组合Constructing the Optimal Portfolio Based on VaR of Time-Weighted History Simulation Method

DOI: 10.12677/SA.2014.33015, PDF, HTML, 下载: 2,476  浏览: 9,535  国家科技经费支持

Abstract: On the assumption that yields obey the normal distribution, mean-variance model is frequently used in the optimal portfolio; but in many cases, yields don’t obey the normal distribution. Firstly, we construct a measure index of stock investment value and sort the merits of stock by the index. Then the VaR of portfolio is calculated by using the time-weighted history simulation method and Mean-VaR model is built accordingly. Finally, the optimal portfolio of Chinese stock market is con-structed by using the Mean-VaR model, and the risk of optimal portfolio is predicted. The assump-tion of normal distribution can be avoided effectively by using this method.

 [1] 戴玉林 (1991) 马科维兹模型的分析与评价. 金融研究, 9, 57-62. [2] 刘渝琳, 李俊强 (2008) 基于均值-VaR模型社保基金最优投资组合的构建. 广东商学院学报, 3, 37-42. [3] 张铭丽, 梁第 (2012) 两种VaR计算方法的比较. 山东省农业管理干部学院学报, 29, 155-156. [4] 周翔, 杨桂元 (2008) 基于蒙特卡罗模拟的商业银行信用风险度量方法. 技术经济, 27, 53-56. [5] Christoffersen, P. (2003) Elements of financial risk management. Academic Press, 103-112. [6] Markowitz, H.M. (1952) Portfolio selection. Journal of Finance, 7, 77-91. [7] Consigli, G. (2002) Tail estimation and mean-VaR portfolio selection in markets subject to financial instability. Journal of Banking & Finance, 26, 1355-1382. [8] Frank, K.R. and Keith, C.B., 著, 李伟平, 译 (2011) 投资分析与组合管理. 中国人民大学出版社, 北京, 299-310. [9] 赵锡军, 李向科 (2007) 证券投资分析. 中国金融出版社, 北京, 279-282. [10] 王鲁平, 李昕 (2004) 风险估值在沪深股市风险测量中的应用研究. 西安交通大学学报, 38, 860-863.