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在经济、保险和金融领域,风险价值(VaR)被投资者广泛用来度量金融风险,100α%VaR被定义为一个临界阈值,使得投资组合在持有期内损失超过这个阈值的概率为α。本文基于RaúlTorreset.al[1](2015)关于多元VaR(即MVaR_α~u(X))的研究,类似一元VaR-均值的情形,提出了MVaR_α~u(X)-均值的最优投资组合问题,采用遗传算法对-均值模型进行实证分析。该研究从理论上推广了经典的VaR-均值组合优化问题,结论显示该研究具有很好的经济学意义。
In the economic, insurance and financial fields, VaR is widely used by investors to measure financial risk. The VaR of 100α% is defined as a critical threshold, so that the probability of the portfolio losing more than this threshold during the holding period is α. Based on Raúl Torreset.al [1] (2015) for the study of multivariate VaR (ie MVaR_α ~ u (X)), this paper proposes the optimal MVaR_α ~ u (X) , The genetic algorithm is used to make an empirical analysis of the mean-value model. The research generalizes the classic VaR-means combinatorial optimization problem theoretically, and the conclusion shows that the research has good economic significance.