BVaR风险度量下限制性卖空的单位风险收益最大投资组合模型

J4 ›› 2013, Vol. 48 ›› Issue (05): 92-96.

BVaR风险度量下限制性卖空的单位风险收益最大投资组合模型

吕小妮1,王艳彩2,高岳林2

1.西安邮电大学理学院, 陕西西安 710121; 2.北方民族大学信息与系统科学研究所, 宁夏银川 750021

收稿日期:2012-06-14 出版日期:2013-05-20 发布日期:2013-05-10
作者简介:吕小妮(1976- )，女,讲师, 硕士,研究方向为金融数学与金融工程. Email:iceblack@xiyou.edu.cn
基金资助:
国家社会科学基金资助项目(07XJY038)

The maximum of earnings per risk portfolio model with restricted short selling under BVaR

L Xiao-ni 1, WANG Yan-cai 2, GAO Yue-lin 2

1. College of Science, Xi’an University of Posts and Telecommunications, Xi’an 710121, Shaanxi, China;
2. Information and System Science Research Institute, Beifang University of Nationality, Yinchuan 750021, Ningxia, China

Received:2012-06-14 Online:2013-05-20 Published:2013-05-10

摘要/Abstract

摘要：

在BVaR风险度量下,提出了限制性卖空的单位风险收益最大投资组合模型,通过罚函数处理机制将模型转化成无约束优化问题,然后运用自适应差分进化算法进行求解。实证分析表明该算法是有效的,将限制性卖空引入到投资组合模型中,有助于扩展投资机会空间,增强市场效率,降低市场风险。

关键词: 投资组合;限制性卖空;BVaR;自适应差分进化

Abstract:

In the BVaR risk measure, the maximum of earnings per risk portfolio model with restricted short selling was put forward, and the model was transformed into an unconstrained optimization problem through the penalty function, and then the problem was solved by using adaptive differential evolution algorithm. The empirical analysis shows that the algorithm is effective and the constraint of restricted short selling is reasonable, which contributes to the expansion of investment opportunities, enhances the market efficiency and reduce the market risk.

Key words: portfolio; restricted short selling; Bayes value at risk; adaptive differential evolution

吕小妮1,王艳彩2,高岳林2. BVaR风险度量下限制性卖空的单位风险收益最大投资组合模型[J]. J4, 2013, 48(05): 92-96.

L Xiao-ni 1, WANG Yan-cai 2, GAO Yue-lin 2. The maximum of earnings per risk portfolio model with restricted short selling under BVaR[J]. J4, 2013, 48(05): 92-96.

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