基于CVar的投资组合模型-数学 应用数学专业论文.docxVIP

兰州大学2 兰州大学2 0 0 8届硕士学位论文 摘要 当前中国经济持续高速发展，不仅使广大人民的生活水平得到大幅 提高，也使各种金融投资方法、金融产品和金融术语走进了普通百姓的 生活。尤其是在过去的二零零七年，随着中国股市在低迷多年后转入牛 市，股票成了老百姓和各种金融机构投资的重点。股票投资已经作为最 普遍的投资方法之一而走进百姓生活。 但是股票投资是高收益、高风险的金融投资活动，如何在增加收益 的同时有效的控制和度量投资风险已经成为普通百姓、投资机构和学术 界所共同关心的焦点问题。 本文就是为了克服现有国内股票市场证券投资组合投资方法和风 险度量方法的不足，基于比较先进的风险度量方法CVaR，并同时兼顾 多种市场摩擦因素，建立了一种新型的证券投资组合管理模型，并对新 模型进行了定量求解和实证对比两种测试。在结合中国证券市场数据与 实际运行的社保基金一零九投资组合实证对比测试后，新模型组合的收 益提高，并且在对新组合结果的VaR测试中表明新模型把风险控制在 了理想的范围之内，表明新模型可以帮助投资者寻求稳健的最佳投资方 案，并且可以为风险控制和监管提供可行的建议；在与基于绝对偏差的 MAD模型的对比测试中，新模型亦具有投资分布合理、收益显著提高 和控制风险能力较强等良好的特性。新模型不仅能合理反映不同投资约 束对最优投资决策的影响，而且可以为投资者提供理想的投资建议。 关键词：投资组合选择模型；CVaR；市场摩擦；MAD；风险控制 3 兰州大学2 兰州大学2 0 0 8届硕士学位论文 Abstract During these years the economic of China develop sostenuto and rapidly, not only greatly improve the people’S living standard and also make the various financial investment methods，Financial products and financial words gone to the lives of ordinary people．Especially in the past 2007，with the stock market of China into the bull market after obsession for many years，stock has become the focus of investment for ordinary people and various financial institutions．Equity investment has gone into the people’S life as one of the most common way of investment． However，investment of shares is a high-yield and hi【gh—risk financial invest— ment activity,how to increase revenue and effective control and measure the invest— ment risk at the same time has become the focus of common concern for common people，investment institutions and the fault of academia． To overcome shortcomings of existing portfolio selection models and the method of investment measure，established in this paper is an new model of stock investment and management which utilizes the advanced risk measure CVaR and takes into consideration several market frictions simultaneously,has made two dif- ferent tests of the quantitative and empirical comparison．After the test combined with the practical operation of the Social Security Fund 109 Portfolio Empirical Com