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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.
The problem based on WCVaR risk control is transformed into a minimum-maximum-minimum portfolio problem, the traditional objective function is improved to control only the risk level at the end of the investment, the target model to control the risk of the whole investment process and the dynamic portfolio optimization Model.The vector autoregression and Monte Carlo simulation method is used to calculate the optimal investment strategy.Finally, empirical analysis and sensitivity analysis are carried out based on the historical data of China’s financial market.The results show that the investment portfolio model is practical.In addition , Through the sensitivity analysis, it is concluded that the reasonable target wealth value should be set according to the capital market situation indicators (such as stock index) and the portfolio should be optimized with appropriate risk constraints.