【作者】 刘紫亮；

【导师】 荣喜民；

【作者基本信息】 天津大学 ， 运筹学与控制论， 2009， 硕士

【摘要】 2008年席卷全球的金融危机让众多的机构和个人投资者损失惨重,世界金融业动荡加剧,一些曾经优质的公司也在劫难逃,特别是一些金融类公司的破产让金融界开始觉醒,进一步深入探讨风险防范和风险管理等问题。此次金融危机对投资者进行了一场深刻的风险教育。本文首先阐述了风险的意义,并对VaR及CVaR的国内外的研究历史、发展历程做了较为细致的回顾。在对组合证券投资理论进行深入分析的基础上,对期望效用理论、组合风险和收益的度量等问题进行了分析讨,着重分析了VaR及CVaR风险度量方法,对二者的优点与缺点进行了比较对比,对CVaR风险度量方法与以前的风险度量方法的优越性有了更清楚的了解,特别是基于CVaR的模型求解问题往往可以转化为线性规划问题,具有良好的操作性。本文从CVaR风险度量方法的理论出发,对模型进行了扩展研究,建立了考虑交易成本、行业(板块)、分散化约束等的组合投资均值—CVaR优化模型,进一步考虑单个资产的剧烈变化对组合投资的影响,建立了考虑单个证券的风险约束的均值—CVaR优化模型,并对模型进行了分析研究,该模型能更好地控制极端风险,防止证券投资组合里某个证券因为破产等原因而引起的巨大损失,更好地达到风险防范的目的。最后选取我国证券市场的实际股票数据,应用遗传算法,对考虑单个证券的风险约束的均值—CVaR组合投资模型进行了实证分析,验证了该模型控制风险的有效性和可操作性,具有一定的理论和应用价值。更多还原

【Abstract】 The overwhelming financial crisis in 2008 has resulted in tremendous losses on the part of numerous organizational as well as individual investors around the globe. With the aggravation of the international financial turbulence, some enterprises that were once considered high-grade could not escape the curse. And the crash of some financial corporations particularly is bringing the financial field into greater awareness of the situation, as well as the need to further explore issues like risk prevention and risk management. The financial crisis constitutes a profound lesson of risk education. This study/thesis starts with the explanation of the meaning of risk, and gives a general overview of the research history and development of VaR and CVaR both at home and abroad. The theory of utility expect, portfolio risk, and the measure of benefits are discussed on the basis of an in-depth analysis of the theory of portfolio investment, with special focus on the VaR and CVaR risk measurement methods, in which the advantages and disadvantages of the two are analyzed, and the advantages of the CVaR risk measurement method against the past ones is highlighted. The CVaR method is featured by good practicability in that the solution of models based on this method can almost always be transferred into linear programming problems.This thesis is based on the theory of CVaR risk measurement method, and includes an expanded research of the model, in which an optimized Mean-CVaR portfolio model is built that takes into account transaction cost, industry (modules), and decentralized constraints. Also, an optimized Mean-CVaR model that takes into account the risk constraints of individual securities is built and analyzed, with further considerations on the effects that drastic changes of individual assets exert on portfolio. The optimized model can better control extreme risk, and prevent major losses caused by the crash of some security in the portfolio. At last, an empirical analysis is given to the optimized Mean-CVaR model that takes into account the risk constraints of individual securities, with actual data of Chinese security market adopted and genetic algorithm assumed, so that the effectiveness and practicability of risk control of the model are tested, and its theoretical as well as practical value proved.更多还原