有交易成本的均值-CVaR有效前沿

Mean-CVaR efficient frontier with transaction costs

基于由 Rockfeller 和 Uryasev 提出的条件风险价值-CVaR 的风险计量技术,构造了有交易成本并在正态假设下的 CVaR 风险的证券投资组合模型,给出了此证券投资组合的均值-CVaR 有效前沿曲线方程和最优投资策略的解析表达式.最后,利用理论结果对深市和沪市的证券投资组合的均值-CVaR 有效前沿作了实证分析.

Based on the CVaR introduced by Rockfeller and Uryasev, this paper establishes a portfolio selection model with transaction costs under the assumption of normality of risk securities, and gives the mean-CVaR efficient frontier and the optimal investment tactics. Finally, this paper provides the mean-CVaR efficient frontier and the optimal investment tactics of portfolio selected from Shanghai and Shenzhen stock markets using theory given by this paper.