具有VaR约束和无风险投资的证券组合选择方法

An Optimal Portfolio Selection Model Under Constraints of Both VaR and Risk-free Investment

本文提出了具有VaR约束和无风险投资的证券组合优化模型,在证券收益率服从正态分布的前提下,给出有效投资比例及有效边界的解析形式,它是传统的均值-方差模型及有效证券组合的推广。

This paper establishes a portfolio Selection model under constraints of both VaR and risk-free investment, and under the assumption that the rates of securities' returns are normal random variables, the explicit formulas of investment proportions and the mean-variance efficient frontier of the optimal portfolio are presented.