| 含有资本结构因子和交易成本的均值-CVaR投资组合策略选择模型 |
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| 引用本文： | 翟永会. 含有资本结构因子和交易成本的均值-CVaR投资组合策略选择模型[J]. 河南师范大学学报(自然科学版), 2013, 41(5): 13-18 |
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| 作者姓名： | 翟永会 |
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| 作者单位： | 河南师范大学商学院,河南新乡,453007 |
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| 基金项目： | 教育部人文社会科学青年基金，国家自然科学基金，河南师范大学博士科研启动费支持课题 |
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| 摘 要： | 以CVaR为度量风险的标准,建立了机会约束下含有资本结构因子和交易成本的均值-CVaR投资组合选择模型.运用优化理论,得到最优解的解析表达式,利用Matlab给出该模型的最优解、最优解均值及CVaR的程序,最后通过算例对模型的应用予以说明,发现在考虑资本结构因子和交易成本后最优策略发生了改变.
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| 关 键 词： | 投资组合 机会约束 资本结构 交易成本 CVaR |
Mean-CVaR Portfolio Selection Model with Transaction Costs and Capital Structure |
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| ZHAI Yonghui. Mean-CVaR Portfolio Selection Model with Transaction Costs and Capital Structure[J]. Journal of Henan Normal University(Natural Science), 2013, 41(5): 13-18 |
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| Authors: | ZHAI Yonghui |
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| Affiliation: | ZHAI Yonghui;School of Business,Henan Normal University; |
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| Abstract: | The Mean-CVaR portfolio selection model under chance-constrained with transaction costs and capital structure factor is established in this paper.The assumption that the securities rates of return obeyed normal distribution,and CVaR is the risk measure in this model.Furthermore,the explicit representation of the optimal solution is given by optimize theory.By Matlab language,the program of mean and CVaR of the optimal solution is devised.Finally,an illustrative example is provided for its application in practice.This paper discovered that the optimal portfolio is changed when transaction costs and capital structure factor is taken into account. |
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| Keywords: | portfolio chance-constrained capital structure transaction costs Conditional Value at Risk |
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