Mean-CVaR模型下的资产组合和破产风险控制

Assets and Tail Risk Allocation by Mean-CVaR Model

为了克服尾部风险测度CVaR模型本身的不足,并且给“如何实现资产组合的破产风险与期望利润的最优配置”问题提供一个更加符合现实的答案,本文在CVaR模型基础上,通过把风险资本的来源内生于资本禀赋以及把风险资本的机会成本引入利润函数的方式提出了线性Mean-CVaR模型。同时,本文通过对“上证50”成分股进行选择的实证分析给出了由线形Mean-CVaR模型得到的更加合理的资产组合与资本储备。

To overcome the shortages of CVaR, this paper gives a new Mean-CVaR model to make the risk capital endogenous from initial capital endowment and to control the expected profit and bankrupt risk simultaneously by inducing the opportunity cost of risk capital CVaR. It also gives an empirical analysis of how to select stock with respect to Shanghai Stock 50 index to explain how assets and tail risk can be allocated by Linear Mean-CVaR model and the differences between CVaR model and Mean-CVaR model.