基于VaR 的最优资产组合选择策略
VaR Based Optimal Portfolio Selection Strategy
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摘要: 基于VaR( Value- at- Risk) 的方法, 对Markowitz 资产组合选择策略作了进一步的研究, 给出了一种选择最优资产组合的新策略, 该策略可以使所选择组合的收益率与风险相匹配, 在一定的置信水平下保证收益率最大而风险最小, 并刻画了投资者对风险的喜好倾向。Abstract: Inthis paper , onthe basis of Markowitz portfolio selectiontheory , a newoptimal portfolio selection strategyis investigated by using the VaR ( Value-at-Risk) method . This strategy describes investors’preference to risk and return, and matches the maximal return and minimal risk under a given confidence level .