基于时间加权历史模拟法的VaR来构建最优投资组合基于时间加权历史模拟法的VaR来构建最优投资组合.pdf

Statistical and Application 统计学与应用, 2014, 3, 107-115 Published Online September 2014 in Hans. /journal/sa /10.12677/sa.2014.33015 Construct the Optimal Portfolio Based on VaR of Time-Weighted History Simulation Method 1 1 2 Xingqi Li , Hanquan Wang , Wen Gan 1 School of Statistics and Mathematics, Yunnan University of Finance and Economics, Kunming 2 International Business School, Yunnan University of Finance and Economics, Kunming Email: 1835041693@ th th th Received: Jun. 16 , 2014; revised: Jul. 20 , 2014; accepted: Jul. 28 , 2014 Copyright © 2014 by authors and Hans Publishers Inc. This work is licensed under the Creative Commons Attribution International License (CC BY). /licenses/by/4.0/ Abstract On the assumption that yields obey the normal distribution, mean-variance model is frequently used in the optimal portfolio; but in many cases, yields don’t obey the normal distribution. Firstly, we construct a measure index of stock investment value and sort the merits of stock by the index. Then the VaR of portfolio is calculated by using the time-weighted history simulation method and Mean-VaR model is built accordingly. Finally, the optimal portfolio of Chinese stock market is con- structed by using the Mean-VaR model, and the risk of optimal portfolio is predicted. The assump- tion of normal distribution can be avoided effectively by using this method. Keywords Optimal Portfolio, Mean-Variance Model, Historical Simulation Method, Mean-VaR Model 基于时间加权历史模拟法的VaR来构建 最优投资组合 1 1 2 李兴奇 ，王汉权 ，干 文 1云南财经大学统计与数学学院，昆明 2云南财经大学国际工商学院，昆明