基于CVaR与平均离差波动限制的投资组合模型

Portfolio Optimization Model Based on CVaR Programming and Restrictions of MAD

提出了一种基于CVaR的投资组合模型,对组合资产收益率不做正态分布假设,用MAD模型作为一个约束条件,实现波动性度量限制,用上凸效用函数作为一个约束条件,表示风险资产交易费用。实验结果表明,该模型满足实际投资要求,符合实际投资规律,与M-V模型和原始CVaR模型相比具有波动性和风险价值最小化的优势。

This paper puts forward a portfolio model based on the CVaR model which doesn＇t make normal distribution hypothesis on profit of portfolio, takes MAD model as a limit function to realize the measurement limit of volatility, and makes use of convex utility function to express transaction costs of risk assets as a constraint condition. The experimental results show that the model satisfies actual investment requirements, conforms to the actual investment law, and compared with M-V model and original CVaR model, it has advantage of volatility and minimum risk value.