摘要
主要介绍以损失函数DD(x)、最大损失函数MD(x)和平均损失函数AD(X)为基础的测度金融风险的新型工具———DaR模型和CDaR模型及其特点;重点讨论如何依据投资者的风险偏好建立基于CDaR的投资组合收益-风险优化模型,并将其转化为易于求解的线性规划(LP)模型;结合我国上证A股市场实证分析的结果表明,该模型能最大限度地满足投资者不同风险偏好和风险容忍水平的约束,快捷、方便地求得最优投资组合.
In this article, we mainly introduce a new tool of measuring risk--DaR model and CDaR model and their characteristic. These models are based on the Drawdown function arid the Maximal drawdown function and the Average drawdown function. We mainly discuss how to establish Investment portfolio optimization model based on Conditional Drawdown-at-Risk according to investors＇ risk lover and transform them into the linear programming （LP）model. From the analysised result of the A market＇s of our country, we know this model can greatly satisfy the investors＇ s different risk lover and different risk tolerance horizontals, and can obtain the most superior investment portfolio quickly and conveniently.
出处
《华东交通大学学报》
2006年第2期166-170,共5页
Journal of East China Jiaotong University
基金
高校博士点专项科研基金资助(20040542006)
关键词
CDAR
投资组合
优化模型
CDaR
investment portfolio
optimized model.
