基于随机模拟和VaR模型的投资组合优化研究

投资组合的优化旨在对资金进行分配组合,得到各项资产的最优分配权重,并在权衡投资收益和风险的基础上使投资达到期望效用最大化.在研究过程中,首先运用Monte Carlo随机模拟方法预测各资产的收益率期望值,计算出收益率标准差和各资产间的相关系数,进而求解资产的组合风险.然后将VaR(Value at Risk)条件引入到模型中,建立以资产组合收益为最大目标,以资产组合的VAR为约束条件的投资组合优化模型,计算出资产分配比重.最后通过实例分析资产价格走势和检验分布假设,验证模型的合理性和可行性,为投资者的决策提供理论和应用依据.

Stochastic Simulation and VaR Modeling for Asset Portfolio Optimization

The objective of portfolio is to optimize the asset allocation and maximize the expected return by balancing the profit and risk. A study on the asset portfolio optimization was proposed based on Monte Carlo simulation and VaR (Value at Risk) model. The Monte Carlo simulation approach was used to make the stock price prediction and calculate the portfolio risk from the standard deviation and correlation coefficient. The VaR constraint was introduced into the model to optimize asset allocation and have the portfolio return maximized under certain risk level. Through the case study of stock price trend and statistic test of the distribution assumption, it was found that the model was satisfactory to the investment decision.