| 权重分离性约束的Mean-CVaR投资组合模型 |
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| 引用本文： | 刘遵雄,盛亚雄. 权重分离性约束的Mean-CVaR投资组合模型[J]. 井冈山大学学报(自然科学版), 2017, 0(3): 19-24,29 |
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| 作者姓名： | 刘遵雄 盛亚雄 |
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| 作者单位： | 华东交通大学信息工程学院, 江西, 南昌 330013,华东交通大学信息工程学院, 江西, 南昌 330013 |
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| 基金项目： | 国家自然科学基金项目（71361009） |
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| 摘 要： | 不同于均值-方差(Mean-Variance)模型,均值-条件风险价值(Mean-Conditional Value at Risk,Mean-CVaR)模型不是以投资组合收益的方差作为风险测度,而是使用了能表征投资收益下侧尾部风险的条件风险价值。同样,Mean-CVaR模型存在优化解微权值数目过多的问题,造成操作性下降。针对这些问题,提出了在Mean-CVaR模型引入权值分离性约束,以保证投资权值不低于某一设定的阈值,结合上证50指数股票进行实例分析。
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| 关 键 词： | Conditional Value at Risk 投资组合 Mean-CVaR |
| 收稿时间： | 2016-07-01 |
| 修稿时间： | 2016-10-16 |
MEAN-CVAR PORTFOLIO MODEL WITH WEIGHT SEPARATION CONSTRAINTS |
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| LIU Zun-xiong and SHENG Ya-xiong. MEAN-CVAR PORTFOLIO MODEL WITH WEIGHT SEPARATION CONSTRAINTS[J]. Journal of Jinggangshan University(Natural Sciences Edition), 2017, 0(3): 19-24,29 |
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| Authors: | LIU Zun-xiong and SHENG Ya-xiong |
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| Affiliation: | School of Information Engineering, East China Jiaotong University, Nanchang, Jiangxi 330013, China and School of Information Engineering, East China Jiaotong University, Nanchang, Jiangxi 330013, China |
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| Abstract: | Different from the Mean-Variance, the Mean-CVaR (Mean-Conditional value at risk) model didn''t take the variance of the portfolio returns as a measure of risk. However, it uses the conditional value at risk that express the underside of the tail risk of the investment income. Similarly, the optimal solution of Mean-CVaR problem has a lot of micro weight, which results in the decline of operating. The constraint of weight separation is proposed in this paper into the mean-CVaR model, which can ensures that the value of investment weight is not less than a set threshold. Combined with the SSE 50 index stock, we carry on the example analysis. |
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| Keywords: | Conditional Value at Risk portfolio Mean-CVaR |
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