不确定环境下基于VaR和CVaR的投资组合优化模型

Optimal Model of Portfolio Selection Based on VaR and CVaR under Uncertain Environment

对不确定环境下的投资组合问题进行研究,使用不确定测度来定义不确定环境下的VaR和CVaR,并用VaR和CVaR度量风险,建立基于VaR和CVaR风险控制的投资组合优化模型,并设计了集成遗传算法、99-方法的混合智能算法来求解此模型,最后通过实例验证了模型和算法的有效性。

This paper discussed the portfolio selection problem under uncertain environment, using uncertain measure to define VaR and CVaR. VaR and CVaR were used to measure risk. An optimal model of portfolio selection based on VaR and CVaR was established, and the hybrid intelligence algorithm integrating genetic algorithm and 99-method was designed to solve the model. Finally, an numerical example was given to illustrate the feasibility and effectiveness of the model and the algorithm.