基于指数平方误差风险控制下的最佳投资策略研究
The Study of the Optimal Investment Strategy Based on Risk-Management Model
摘要:
经典的马柯威茨投资组合模型以方差作为风险度量，不能区别对待期望两侧投资者的不同感受。考虑指数平方误差的优越性，在均值-CVaR模型的基础上，使用指数平方误差作为风险度量，即只考虑其投资在损失的一侧来做出新的投资组合优化模型。进一步讨论了指数平方误差损失模型的有效前沿，并以中国工商银行等股票价格为实例做了实证分析，结果表明基于指数平方误差风险控制下的投资策略具有很好的适应性。
Abstract:
The classical Markowitz portfolio model measuring risk with variance, it does not deal with the different feelings of investors on both expect sides. This paper uses an improved model of Markowitz portfolio selection model, that is, Exponential Squared Loss as a risk measure, which is based on the Mean-CVaR model, to consider their investment only in the side of the loss in order to get a better portfolio. Moreover, we discuss the efficient frontier of Exponential Squared Loss model, and then make an empirical analysis taking price of Industrial and Commercial Bank of China as an example. The results indicate that the investment strategy based on Exponential Squared Loss model has good adaptability.
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