引入VaR和ES约束的投资组合理论实证

针对机构投资者控制市场风险的需要，将VaR(风险价值)和ES(期望不足)约束引入到均值一方差投资组合理论中，并利用中国A股1995～2002年的数据，实证了VaR和ES约束对组合绩效的影响．实证结果表明：对于有无风险约束、风险约束类型(VaR对ES)、置信水平高低以及约束值的大小这4项选择(任选1项而其他3项任其变化)，存在风险约束或ES约束或置信水平高或约束值小时组合的风险调整绩效均显著好于相应组合的风险调整绩效，而组合绩效表现则完全相反。

Empirical Study on Portfolio Theory Introducing VaR and ES Constraint

Aiming at the need of controlling market risk of institutional investors, this paper introduced value at risk (VaR) and expected shortfall (ES) constraint into the mean-variance portfolio theory, and demonstrated the effect of VaR and ES constraint on portfolio performance using A-shares data in China from 1995 to 2002. The results show that arbitrairy choosing one and keeping the left random movement (among) the four choices such as risk constraint in existence or not, risk constraint's type(VaR vs. ES), high or low confidence level, and limit size, the risk-adjusted performance of portfolio when risk constraint in existence or ES constraint or high confidence level or small limit size is all significantly better than the risk-adjusted performance of the corresponding portfolio, while the results for the portfolio performance are completely opposite.