基于CVaR的投资组合优化模型及实证

Optimal Model of Investment Portfolio Based on CVaR and Empirical Analysis

以条件风险价值CVaR为风险度量,建立以CVaR为目标函数,VaR为约束条件的二次规划模型,该模型给出了在决策者可以接受的VaR风险水平下,使得CVaR为最小值的投资组合最优选择;实例表明投资组合的最优选择降低了投资组合发生灾难性风险的可能性。

Taking conditional value at risk,CVaR,as risk measurement,this paper sets up a quadratic program model with CVaR as objective function and with VaR as constraint condition,and this model gives optimal choice of investment portfolio that makes CVaR minimum value under the condition of VaR risk level that decision-makers can accept.The examples show that this model has obtained the best choice of investment portfolio and reduced the possibility of catastrophic risk of the portfolio.