| 满足VaR限制的保险基金最优投资组合 |
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| 引用本文： | 秦旭,韩文秀. 满足VaR限制的保险基金最优投资组合[J]. 西北农林科技大学学报(社会科学版), 2003, 3(4): 30-34 |
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| 作者姓名： | 秦旭 韩文秀 |
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| 作者单位： | 天津大学,管理学院,天津,300072 |
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| 摘 要： | Va R是一种在市场正常波动情形下对证券组合的可能损失进行统计测度的风险测量方法。论文首先将 Va R概念引入保险基金投资领域 ,进而利用随机最优化技术 ,研究了如何确定一个满足 Va R限制以及期望收益最大化的保险基金的最优投资组合。
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| 关 键 词： | 投资组合 风险因子 期望收益 二次规划 |
| 文章编号： | 1009-9107(2003)04-0030-05 |
| 修稿时间： | 2002-10-23 |
Optimal Portfolios of Insurance Fund With Constraints on Value at Risk |
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| QIN Xu,HAN Wen-xiu. Optimal Portfolios of Insurance Fund With Constraints on Value at Risk[J]. Journal of Northwest A&F University(Social Science Edition), 2003, 3(4): 30-34 |
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| Authors: | QIN Xu HAN Wen-xiu |
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| Abstract: | Value at Risk is an important method of risk management, which can measure possible exposure of a given portfolio of securities in financial markets. In this paper, we first introduced the notion of VaR into the investment of insurance fund, then adapted a stochastic optimization method and studied how to find a portfolio among given set of securities which would provide the maximal yield and at the same time satisfy the constraints on value at risk. |
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| Keywords: | portfolio risk factor expected return quadratic programming |
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