基于摩擦因素和风险价值的可能性组合投资模型

Research on the Possibility of Portfolio Investment Model Based on Friction Factor and Value at Risk

研究了在摩擦市场因素的条件下基于可能性分布理论的组合投资问题,提出了基于摩擦市场因素和风险价值理论的可能性组合投资模型。实证研究结果表明:摩擦市场因素的变动对组合投资风险具有一定的影响,基于摩擦市场因素和风险价值理论的可能性组合投资模型更符合实际的投资风险情况。本研究为投资者选择更适合的投资策略提供参考。

The portfolio investment based on the possibility distribution theory under the condition of the friction market was studied,and a possibility portfolio investment model was proposed. The empirical study shows that the change of the market friction factor affects the investment portfolio.Thus,the portfolio investment model based on the friction market factor and the VaR theory is more suitable for the actual investment risk,so as to provide a reference for the investor to choose a more suitable investment strategy.