动态风险度量与组合投资选择.pdfVIP

tf，／西_／ 夭／ 赦 2OO8年5月 Jamml 0fShanXi Finance and Economics University May．，2O08 第30卷第5期 Vo1．30 No．5 动态风险度量与组合投资选择 许启发 一，蒋翠侠2 (1．天津大学管理学院，天津300072；2．山东工商学院统计学院，山东烟台264005) [摘 要]在金融风险管理理论与实践中，vaR和CVaR已成为主流方法之一。为分散金融风险的动态影响，一方面，通过 时变波动模型将静态VaR和CVaR扩展到动态情形，进一步基于多元GARCH模型给出动态VaR和CVaR的计算方法；另一方 面，在动态风险度量的基础上，建立了动态组合投资选择模型。最后，利用国际股市的数据进行了实证研究，将动态组合投资 与静态组合投资的效果进行了比较。 [关键词]动态风险；VaR；CVaR； 多元GARCH模型； 组合投资 [中图分类号]F830 [文献标识码]A [文章编号]11307—9556{2008)05—0094—06 Measure of Dyl~mic Risk and the Optimal Portfolio Selection ’— 一 XU Qi—fa ，JL~NG Cui一)【i (1，School of Management，Tianjin University，Tianjin 300072； 2．School of Statistics，Shandong Institute of Business and Technology，Yantai 264005，China) Abstract：In current financial risk management practice，value at risk(VaR)and conditional value at risk(CVaR)are the most popular risk measures，qhis paper extends the static VaR and CVaR to the dynamic ones through time—varying volatility modeled by general autore- gressive conditional hetemscedasticity(G CH)mode1．Under normal distribution flSsulnption，山e authors discuss the calculation of dynamic VaR and CVaR through multivariate GARCH mode1．Based on the dynamic m,％zqsul~of risk．the dynamic~InewoFk for optimal portfoho selec． tion is proposed and solved by the dyn~c programming methods．In particular，the authors focus on the portfolio which yields a portfoho ofthe minimum variance，VaR or CVaR at every day．Finally，empirical appKcations are applied into international stock marke~．