基于风险管理模式下的最佳投资策略研究
Optimal Investment Strategy Based on Risk-management Model
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摘要: 在马柯威茨投资组合模型的改进模型—均值-CVaR 模型的基础上, 使用半方差来作为风险度量, 即只考虑其投资在损失的一侧来做出新的投资组合优化模型, 最后对均值-方差和均值-半方差模型的有效前沿进行证明, 并以5支股票为实例做了实证分析.Abstract: Based on the Mean-CVaR model, the improved model of Markowitz portfolio selection model, semivariance was used as a risk measure, which considers their investment only in the side of the loss to get a better portfolio. the efficient frontier of mean-variance and semi-variance model was verified. In addition, five stocks were used as the examples for empirical analysis.