| 基于VaR的多阶段金融资产配置模型 |
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| 引用本文： | 金秀,黄小原,马丽丽.基于VaR的多阶段金融资产配置模型[J].中国管理科学,2005,13(4):13-16. |
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| 作者姓名： | 金秀 黄小原 马丽丽 |
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| 作者单位： | 东北大学工商管理学院, 沈阳, 110004 |
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| 基金项目： | 辽宁省科学技术计划项目(2004401015) |
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| 摘 要： | 本文提出了基于VaR的多阶段金融资产配置模型。进一步以我国经济环境为依托,考虑了未来各种资产收益、工资变动及物价变动的不确定性,对这一模型进行了仿真计算,并与静态模型在最优性上进行了比较,得出了动态模型优于静态模型的结论。在期望财富相同的情况下,基于VaR的多阶段资产配置模型比静态模型的期望损失成本低,承担的风险更小。
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| 关 键 词： | 资产配置 风险价值 随机规划 情景生成 |
| 文章编号： | 1003-207(2005)04-0013-04 |
| 收稿时间： | 2005-01-18; |
| 修稿时间： | 2005年1月18日 |
Multi - Period Financial Asset Allocation Models Based on VaR |
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| JIN Xiu,HUANG Xiao-yuan,MA Li-li.Multi - Period Financial Asset Allocation Models Based on VaR[J].Chinese Journal of Management Science,2005,13(4):13-16. |
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| Authors: | JIN Xiu HUANG Xiao-yuan MA Li-li |
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| Institution: | School of Business Administration, Northeastern University, Shenyang 110004, China |
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| Abstract: | In this paper,we develop multi-period asset allocation models based on VaR.Based on our country economic environment we simulate the models under the uncertainty about future asset returns,wage inflation and price inflation.We make a conclusion that the dynamic models are better than the static models by comparison of their optimum.Multi-period asset allocation models based on VaR have fewer expected losses and less risk than static models with the same of expected wealth. |
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| Keywords: | asset allocation value at risk stochastic programming scenario generation |
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