| 均值-CVaR投资组合模型的改进及实证研究 |
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| 引用本文： | 董南.均值-CVaR投资组合模型的改进及实证研究[J].邵阳学院学报(自然科学版),2011,8(4):9-12. |
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| 作者姓名： | 董南 |
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| 作者单位： | 广州大学数学与信息科学学院,广东广州,510006 |
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| 摘 要： | 投资组合理论是现代经济分析的基础.本文在已有的均值-CVaR投资组合模型的基础上,考虑到投资组合理论的目标是既定风险下收益率的最大化,从预测股票价格和收益率的角度进行投资组合模型的改进,得到使预测收益率最大化的预测值-CVaR模型.随后通过实证分析,考察预测值-CVaR模型相对于均值-CVaR模型的效果.
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| 关 键 词： | 投资组合模型 CVaR 核平滑估计 |
An Empirical Study on the Improvement of Mean-CVaR Portfolion Model |
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| DONG Nan.An Empirical Study on the Improvement of Mean-CVaR Portfolion Model[J].Journal of Shaoyang University:Science and Technology,2011,8(4):9-12. |
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| Authors: | DONG Nan |
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| Institution: | DONG Nan(College of Mathematics and Information Sciences,Guangzhou University,Guangzhou,Guangdong 510006,China) |
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| Abstract: | Portfolio Theory is the foundation of modem economic analysis. Considering the goal of the theory is to maximize the profit under intended risk, this paper aims to the improvement of the portfolio model from the perspective of stock price pvediction and its return rate based on the existing Mean-CVaR Porlfolic Model, the ideal Predicted value-CVaR is obtained. The working effects of the two models are compared. |
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| Keywords: | Portfolio model CVaR kernel smoothing estimation |
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