基于cvar风险度量的资产组合优化实证分析-运筹学与控制论专业论文.docxVIP

A B A B S T R A C T A B S T R A .C T R i s k s a ri sin g f ro m t h e u n e e r ta in ty o f f u 扭 r e o u tc o m e s，a s w e ll a s in v e s to rs， t h e lim ite d n a t U re o f t h e ir b o w le d g e ，F in a n c ia l In v e s加 en t 形 sk f a c to rs sP e c if ie to su ch un c ert ainty e au sed b y ch an g e s in e qu ity P rie es，the P o ssib ility o f lo sse s to in v e sto rs，a s w e ll a s th e e x ten t o f lo sse s.A s th e risk o f p o ten tially h ~ fu l an d t h e re f ore m u st b e e f fe e tiv e m o n ito r in g ，t h e r isk c o m e s to m in im iz e t h e 10 5 5 o f it m 盯 le a d to .a n d f ro m t h e r isk to g e t t h e 即 p r o p r ia te retu m 污，e f fe c tiv e ly m a n a g e r isk . 形 s k m a n a g e m e n t 15 t he m o st im P o r ta n t ste P s in r isk a n a ly sis a n d a s se ssm e n t， that 15，m easurem eni 时 risk，select w h at kin d o f in dicators to m easure risk 15 essen tial.M ajor research P ortfolio theo ry 15 that in the ease o f un cert ain futur e o u tc o m e s， h o w t h e a sse ts o f th e lim ite d k in d s o f e h o ic e s a n d e o m b in a tio n s ， m a k in g t he e x P e e te d r e t ur n a n d r isk a c h ie v e a r e a so n a b le b a la n c e . h i 1 9 5 2 ， M a rk o w itz f ir st in tr o d u e e d a se ie nt if ic P o r tf olio s e le c tio n t h e o r y : a ratio n al inv esto r 15 alw ays lo okin g at a giv en lev el o f refum s ex P eeted u n d er the eon d itio n s o f m in im 姗 risk ，or at a giv en lev el o f risk the larg est P ortfolio re加rns sin e e t h e n ，to t h e e x P e c te d re t ur n to m e a s u re t h e r a te o f P o r tf o lio re t ur n s in o r d e r t o m e a su r e t he v 硕 a n e e o r s ta n d a rd d e v ia tio n o f P o r tf olio r isk m e a n 一 v a ri a n e e 犯 o d el in th e P o rtfo lio are a o f re s e arch h a s b e en e stab lish e d . H o w e v e r，