基于CVaR和安全第一思想的投资组合模型-数量经济学专业论文.docxVIP

Contents1．Introduction Contents 1．Introduction ．1 1．1 Background and Significance ．．1 1．2 Research Methods ．2 1．3 This work and innovation ．．2 1。3．1 This work ．2 1．3．2 This innovation ． ． ．．3 2．Literature Review ．4 2．1 Mean．variance model and Expansion ．．4 2．2 Safety First Portfolio Optimization Model 4 2．3 The introduction ofVaR portfolio model ，．8 2．4 Introduced CVaR portfolio model ． ．1 l 3．Several major portfolio model 13 3．1 Safety First Portfolio Optimization Model ．．13 3．1．1 RSF model 13 3．1．2 TSF model 14 3．1．3 KSF model 14 3．2 Standard risk measure VaR and mean．VaR model 1 5 3．2．1 Definitions ofVaR ．．15 3．2．2 VaR calculation method 1 6 3_2．3 Properties ofVaR ．1 7 3．2．4 Advantages and disadvantages VaR method 1 8 3．2．5 Mean．VaR model 19 3．3 Risk Measurement standard CVaR model and Mean—CVaR 20 3．3．1 Definitions CVaR ．20 3．3．2 Calculation Method CVaR ． ． 21 3．3．3 CvaR nature ．22 3．3．4 Superiority CVaR method overview ．．23 3．3．5 Mean．CVaR model ．24 4．Investment model based on CVaR and safety first 25 4．1 Build models 一25 4．1．1 Safetv first model based on the idea 25 4．1．2 Measure downside risk CVaR 25 III 万方数据 4．1．3 4．1．3 Under normal mean．CVaR E塌cient Frontier 27 4．1．4 Investment model based CVaR and safety first thought of 一28 4．2 Theoretical models Solving 28 4．3 Numerical Example 3 l 4．3．1 Sample Selection and statistical characteristics ofthe data analysis．．3 l 4．3．2 Solving the model example ．33 5．Extension Model under does not allow short selling restrictions 。35 5．1 Model ．35 5．2 Model Solution ．35 5．3 Numerical Example 37 6．Model based 011 VaR and safety first thought Comparison 38 6．1 Normal distribution。the variance portfolio model based on the idea of safety first and ．．．．．．． ． ．．．．．．．．．．． ． ．．．．．．．．．．． ．．．．．．．．．．．．38 6．1．1 Under normal mean—variance efficient frontier model ．．38 6．1．2 Variance portfolio selection model based on safety first and Thought39 6．2 Under normal portfolio VaR model based on the idea of safety first and 。39 6