2004年国际工程管理会议论文格式-BasedonCVaRMethod.PDFVIP

2015 International Conference on Management Science Engineering (22th) October 19-22, 2015 Dubai, United Arab Emirates Investment Portfolio Management of Chinese Insurance Funds Based on CVaR Method HOU Wen-sheng，ZHANG Xing School of Economics and Management, Beihang University, Beijing 100191, P.R.China Abstract: With the increasing scale of insurance not only the real demand of insurance companies but also funds and expanding field for insurance funds investment, the important part of achieving effectively management how to build an optimal portfolio and effectively manage of insurance funds. Due to the use of insurance funds the risk is the current problem facing by most of Chinese mainly focuses on identifying investment field, since insurance companies. This paper takes 4 listed insurance investments in a specific field is relatively flexible, such companies in China for an example, adopting CVaR as stock selection is usually depending on technical method to empirically analyze the risk of insurance funds analysis or fundamental analysis. Therefore, taking investment portfolio constructed by bank deposit, bond, insurance funds investing to 5 investment fields of bank security, fund and real estate, providing a quantitative deposit, bond, security, fund and real estate as the tool for risk management and optimization of insurance starting point, adopt CVaR tools to comprehensively funds investment portfolio. And then evaluate the analyze the management of insurance funds investment performance of investment portfolio for the 4 listed portfolio as well as performance assessment, which is of insurance companies by calculating the 2 indicators of great importance for improving the s