国债投资组合风险度量的实证分析

Positive research in the measurement of risk for the portfolio of state bond

对我国国债市场流通的国债应用弹型策略和杠铃型策略构建投资组合 ,并利用Golub&Tilman风险值模型对所构建的两个组合进行风险值度量 ,发现在投资年限较短时采用弹型策略风险较小 ,投资年限较长时则采用杠铃策略风险较小 .

The positive research makes two portfolios in state bond market of China by using bullet strategy and barbell strategy. According to the method of 'Golub&Tilman VAR model', using bullet strategy is safer than using barbell strategy in a short investment maturity; otherwise using barbell strategy is safer than using bullet strategy in a long investment maturity.