基于VaR的多阶段金融资产配置模型

Multi-Period Financial Asset Allocation Models Based on VaR

本文提出了基于VaR的多阶段金融资产配置模型。进一步以我国经济环境为依托,考虑了未来各种资产收益、工资变动及物价变动的不确定性,对这一模型进行了仿真计算,并与静态模型在最优性上进行了比较,得出了动态模型优于静态模型的结论。在期望财富相同的情况下,基于VaR的多阶段资产配置模型比静态模型的期望损失成本低,承担的风险更小。

In this paper, we develop multi- period asset allocation models based on VaR. Based on our country economic environment we simulate the models under the uncertainty about future asset returns, wage inflation and price inflation. We make a conclusion that the dynamic models are better than the static models by comparison of their optimum. Multi - period asset allocation models based on VaR have fewer expected losses and less risk than static models with the same of expected wealth.