张永祥 - 副本.pdfVIP

VaR 约束下马科维茨均值-方差模型在外汇保证金交易中的应用 目录 中文摘要„„„„„„„„„„„„„„„„„„„„„„„„„„„„„„„„„„„2 ABSTRACT„„„„„„„„„„„„„„„„„„„„„„„„„„„„„„„„„3 第一章当前外汇保证金交易市场概述„„„„„„„„„„„„„„„„„„„„„„„5 第一节外汇保证金市场的产生与发展„„„„„„„„„„„„„„„„„„„„„5 第二节研究外汇保证金投资组合理论的意义和方法„„„„„„„„„„„„„„„6 第二章论文涉及的几个知识点„„„„„„„„„„„„„„„„„„„„„„„„„„7 第一节外汇保证金交易„„„„„„„„„„„„„„„„„„„„„„„„„„„7 第二节VaR 及套利„„„„„„„„„„„„„„„„„„„„„„„„„„„„„8 第三节马科维茨均值-方差模型„„„„„„„„„„„„„„„„„„„„„„„12 第三章对马科维茨均值-方差模型的改进„„„„„„„„„„„„„„„„„„„„„16 第一节VaR 约束下的马科维茨均值-方差模型„„„„„„„„„„„„„„„„17 第二节对不同前沿组合的合理保证金比例的计算„„„„„„„„„„„„„„„17 第四章VaR-均值模型的运用„„„„„„„„„„„„„„„„„„„„„„„„„„18 第五章总结„„„„„„„„„„„„„„„„„„„„„„„„„„„„„„„„„„22 第六章参考文献„„„„„„„„„„„„„„„„„„„„„„„„„„„„„„„„23 第七章致谢„„„„„„„„„„„„„„„„„„„„„„„„„„„„„„„„„„24 VaR 约束下马科维茨均值-方差模型在外汇保证金交易中的应用 VaR 约束下均值-方差模型在外汇保证金交易中的应用 作者：张永祥 指导老师：坚雄飞 中文摘要 外汇保证金交易是外汇市场近几年出现的新交易形式，它的市场收益高，但风险很大， 市场上的微小波动都可能导致强行平仓。在发达的外汇市场中，马科维茨投资组合理论早已 在实践中被证明是行之有效的，被广泛应用于组合选择和资产配置，并且在我国的金融理论 界也取得了一定研究成果。然而经典的马科维茨M-V模型在外汇保证金交易中的应用并没有 考虑到投资者的风险厌恶程度，引入VaR 方法，可以补充和改进传统Markowitz的均值-方差 模型，充分的考虑到了投资者对于风险的厌恶程度等考虑的问题，在VaR 基础下建立VaR-均 值模型，将会使得所得最优投资组合和保证金投资比例的确定更能体现投资者自身对风险和 收益的要求，进而实现在合适的持仓比例中套利。 关键词：外汇保证金交易，M-V 模型，VaR 约束 （在险价值）， VaR 约束下马科维茨均值-方差模型在外汇保证金交易中的应用 ABSTRACT FX-Margin is one of the new forms of foreign exchange in the recent years. Its return is quite high but at great risk. Any tiny change may lead to forced liquidation. At the developed foreign exchange market, Markowitz theory of asset portfolio is proved to be great helpful in the past. Now it is widely used in assets portfolio and assets disposed. What’s more, it has achieved kinds of success in the native finance market researches. However, the classical Markowitz mean-variance model doesn’t take the attitude of the investors at the exchange into consideration. At this situation, discussing abo