基于非正态分布收益率的限制卖空投资组合模型及其优化仿真

The Optimization and Simulation of Portfolio Model with Nonnormal Distribution Return Rate without Short Sales

针对收益率服从非正态分布的风险资产建立限制卖空的均值-VaR投资组合模型,与马克维兹的均值-方差投资组合模型及收益率服从正态分布的均值-VaR投资组合模型进行比较分析。应用实例显示均值-VaR投资组合模型的投资效果优于均值-方差投资组合模型,基于非正态分布收益率的均值-VaR模型的投资效果略优于基于正态分布收益率的均值-VaR模型。

Under the assumption that rates of return are not normal random variables, a mean-VaR portfolio model without short sales is established to be compared with mean-variance portfolio model and mean-VaR portfolio model with normal distribution return rates. The application shows that the investment result of mean-VaR portfolio model is better than that of mean-variance portfolio model. The investment result of mean-VaR portfolio model with nonnormal distribution return rate is better than that of mean-VaR port...