| 具有VaR约束的跟踪误差投资组合鲁棒优化模型 |
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| 引用本文： | 高莹,黄小原. 具有VaR约束的跟踪误差投资组合鲁棒优化模型[J]. 中国管理科学, 2007, 15(1): 1-5 |
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| 作者姓名： | 高莹 黄小原 |
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| 作者单位： | 东北大学工商管理学院, 辽宁沈阳110004 |
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| 基金项目： | 国家自然科学基金;教育部高等学校博士学科专项基金;辽宁省科技计划 |
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| 摘 要： | 本文在跟踪误差投资组合优化模型基础上,考虑投资组合的风险价值VaR和收益的不确定性,建立了具有VaR约束的跟踪误差投资合鲁棒优化模型。以国内证券市场为背景,运用线性矩阵不等式(LMI)方法进行了实证计算,并与基准组合、跟踪误差投资组合模型和无VaR约束的跟踪误差投资组合鲁棒模型的投资结果进行了比较。实证结果表明,在给定证券集的条件下,具有VaR约束的跟踪误差投资组合鲁棒优化模型优于其它模型。
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| 关 键 词： | 投资组合 鲁棒优化 跟踪误差 VaR 线性矩阵不等式 |
| 文章编号： | 1003-207(2007)01-0001-05 |
| 收稿时间： | 2006-03-31 |
| 修稿时间： | 2006-03-31 |
Robust Optimal Tracking Error Portfolio Models Based on VaR |
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| GAO Ying,HUANG Xiao-yuan. Robust Optimal Tracking Error Portfolio Models Based on VaR[J]. Chinese Journal of Management Science, 2007, 15(1): 1-5 |
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| Authors: | GAO Ying HUANG Xiao-yuan |
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| Affiliation: | School of Business Administration, Northeastern University, Shenyang 110004, China |
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| Abstract: | On the foundation of stock portfolio model of tracking error,this paper takes the value at risk (VaR) of portfolio and the uncertainty of future returns to establish the robust optimal portfolio model based on VaR constraints. According to the background of Chinese stock market,we use the linear matrix inequality (LMI) method to carry out a demonstrational computation,and compare the results with the returns of benchmark portfolio and tracking error portfolio model and tracking error robust optimal portfolio model without VaR constraints. Finally,we obtain the conclusion that the robust optimal portfolio model based on VaR constraints is better than other models on the condition of a given stock set. |
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| Keywords: | VaR |
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