| 基于VaR的无卖空投资组合分析及实证研究 |
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| 引用本文： | 郭晓辉.基于VaR的无卖空投资组合分析及实证研究[J].北京工商大学学报(自然科学版),2007,25(2):72-74,79. |
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| 作者姓名： | 郭晓辉 |
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| 作者单位： | 北方工业大学,经济管理学院,北京,100041 |
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| 摘 要： | 简单介绍了投资组合分析技术的发展现状;然后在传统的证券投资组合中加入VaR约束条件,并结合我国股票交易市场不允许卖空的前提,运用树形算法得出确定最大预期损失的证券投资组合;在此基础上提出了对我国股市发展的建议.
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| 关 键 词： | 投资组合 VaR 树形算法 |
| 文章编号： | 1671-1513（2007）02-0072-03 |
| 收稿时间： | 2006-12-03 |
| 修稿时间： | 2006-12-03 |
INVESTMENT PORTFOLIO ANALYSIS BASED ON VaR WITH NO SHORT SELLING AND EMPIRICAL STUDY |
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| GUO Xiao-hui.INVESTMENT PORTFOLIO ANALYSIS BASED ON VaR WITH NO SHORT SELLING AND EMPIRICAL STUDY[J].Journal of Beijing Technology and Business University:Natural Science Edition,2007,25(2):72-74,79. |
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| Authors: | GUO Xiao-hui |
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| Institution: | College of Economics and Business Administration, of Technology, Beijing 100041, North China University China |
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| Abstract: | Briefly introduce the development status of the investment portfolio analysis skill.Then expatiate how to add VaR(Value at Risk)constraints to the traditional security portfolio,and under the condition of Chinese stock market does not allow short-selling,gain the securities investment portfolio with expected loss in using Tree Algorithm.Finally put forward some suggestions to the development of Chinese stock market. |
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| Keywords: | investment portfolio VaR tree algorithm |
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