| 基于VaR约束不允许卖空的均值-方差投资组合优化 |
| |
| 引用本文： | 张 鹏. 基于VaR约束不允许卖空的均值-方差投资组合优化[J]. 武汉科技大学学报, 2012, 35(1): 73-76 |
| |
| 作者姓名： | 张 鹏 |
| |
| 作者单位： | 武汉科技大学管理学院 |
| |
| 基金项目： | 教育部人文社会科学研究资助项目(08JC630062);湖北省社会科学基金“十一五”规划资助项目([2010]102);湖北省自然科学基金资助项目(2010CDB03304) |
| |
| 摘 要： | 提出基于风险价值(VaR)约束且不允许卖空的均值-方差投资组合模型,结合序列二次规划方法和不等式组的旋转算法,计算出不同最低收益率所对应的最优投资策略。采用实例验证了上述算法的有效性,并证明在一定条件下,引入VaR约束条件可以降低投资风险。
|
| 关 键 词： | 投资组合 卖空 风险价值 序列二次规划 旋转算法 |
| 收稿时间： | 2011-05-25 |
Optimization of risk asset portfolio selection without short sales based on constraint of VaR |
| |
| Zhang Peng. Optimization of risk asset portfolio selection without short sales based on constraint of VaR[J]. Journal of Wuhan University of Science and Technology, 2012, 35(1): 73-76 |
| |
| Authors: | Zhang Peng |
| |
| Affiliation: | Zhang Peng(College of Management,Wuhan University of Science and Technology,Wuhan 430081,China) |
| |
| Abstract: | This paper proposes a model of mean variance portfolio selection without short sales based on constraints of VaR.The optimal investment rate with expected returns is calculated by the sequence of quadratic programming and the pivoting algorithm.A numerical example is used to validate the proposed method.and the introduction of constraints based on VaR is proved to be able to help reduce investment risk. |
| |
| Keywords: | portfolio selection short sales VaR sequence of quadratic programming pivoting algorithm |
| 本文献已被 CNKI 等数据库收录！ |
| 点击此处可从《武汉科技大学学报》浏览原始摘要信息 |
|
点击此处可从《武汉科技大学学报》下载免费的PDF全文 |
