| 具有VaR约束和无风险贷款的证券组合选择方法 |
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| 引用本文： | 李婷,张卫国.具有VaR约束和无风险贷款的证券组合选择方法[J].宁夏大学学报(自然科学版),2004,25(4):305-308. |
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| 作者姓名： | 李婷 张卫国 |
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| 作者单位： | 1. 宁夏大学,数学计算机学院,宁夏,银川,750021
2. 华南理工大学经济与贸易学院,广东,广州,510641 |
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| 摘 要： | 在Markowitz证券组合理论的框架下，当证券贷款存在并且贷款的收益率服从正态分布时，提出了具有VaR约束和无风险贷款的证券组合的优化模型，并在证券收益率服从正态分布的前提下，给出了有效投资比例及有效边界的解析形式．它是均值-方差模型及有效前沿的推广．
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| 关 键 词： | 无风险贷款 VaR约束 最优解 |
| 文章编号： | 0253-2328(2004)04-0305-04 |
| 修稿时间： | 2004年4月21日 |
An Optimal Portfolio under Constraints of both VaR and Allowing for Risk-Free Lending and Borrowing |
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| Li Ting,Zhang Weiguo.An Optimal Portfolio under Constraints of both VaR and Allowing for Risk-Free Lending and Borrowing[J].Journal of Ningxia University(Natural Science Edition),2004,25(4):305-308. |
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| Authors: | Li Ting Zhang Weiguo |
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| Institution: | Li Ting~1,Zhang Weiguo~2 |
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| Abstract: | In Markwitz's portfolio theory, the researchers always use utility function to make up of the mean-variance, then, instruct investors to find the optimal portfolio. But this theory has many flaws. According VaR theory, this paper establishes a portfolio model under the constraints of both VaR and risk-free security (allowing for risk-free lending and borrowing). Furthermore, under the assumption of the rates of securities' returns being normal random variables, the calculation formulas of investment proportions and the mean-variance efficient frontier of portfolio are presented. |
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| Keywords: | risk-free lending value at risk optimal solution |
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