基于CVaR的投资组合对资产变化的敏感性分析

Sensibility Alalysise of Portfolio Frontier to Capital Size Based on CVaR

本文在CVaR风险意义下考察了当投资组合的资产品种数量增加或减少时投资组合前沿曲线的变化特征,得到了与以方差作为风险测度标准的不同的结论。我们发现,使用CVaR作为风险测度标准可以使投资者在资产选择时更加谨慎和稳健,同时也有利于对风险进行分散和监管。

In this paper, the characteristic of portfolio frontier is considered under the sense of CVaR risk measurement.As the amount of capital is increased or decreased, different results are found when variance is used as risk measurement. We find that when CVaR is used as risk measurement, investors will become more cautious and stable, which is useful to risk decentralization and controlling.