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| 含风险价值约束资产配置模型的分析与应用 | |
| 引用本文： | 徐济东,叶春明,夏梦雨. 含风险价值约束资产配置模型的分析与应用[J]. 上海理工大学学报(社会科学版), 2007, 29(3): 231-236 |
| 作者姓名： | 徐济东 叶春明 夏梦雨 |
| 作者单位： | 上海理工大学管理学院 上海200093 |
| 基金项目： | 国家自然科学基金;上海市重点学科建设项目 |
| 摘 要： | 在经典均值-方差模型的基础上,提出了存在交易费用时基于风险价值约束的资产配置模型.给出了该模型的解析算法,对最优解的存在性条件进行分析.针对我国资本市场数据,提出了机构投资资金应用该模型在大类别资产中的最优配置比例. |
| 关 键 词： | 风险价值约束 交易费用 资产配置 有效前沿 |
Analysis and application of the asset allocation model with value-at-risk constraint |
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| XU Ji-dong,YE Chun-ming,XIA Meng-yu. Analysis and application of the asset allocation model with value-at-risk constraint[J]. Journal of University of Shanghai For Science and Technilogy(Social Science), 2007, 29(3): 231-236 | |
| Authors: | XU Ji-dong YE Chun-ming XIA Meng-yu |
| Affiliation: | Business School, University of Shanghai far Science and Technology, Shanghai 200093, China |
| Abstract: | On the basis of the classical mean--variance model, the article proposes the asset allocation model with value-at-risk constraint and transaction cost. The paper details the efficient frontier of the model, and analyses the existence conditions of the optimal solutions. In terms of the up-to-date trading data from the Chinese security markets, the optimized allocation for asset classes of investment fund is provided. |
| Keywords: | value-at-risk constraint transaction cost asset allocation efficient frontier |
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