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在股价及其走势均不确定的情况下,采用最坏VaR方法,对投资的潜在损失进行最保守的度量,并得到其等价的优化形式为一个二阶锥优化问题.接着考虑相应的投资组合优化问题:如何选择合适的头寸,使得当股票组合的期望收益达到给定水平的情况下,风险最低,即最坏VaR值最小,最后对模型进行实证分析.
When the stock price and its trend are uncertain, the worst-case VaR method is used to measure the most conservative investment loss and obtain the equivalent optimization form as a second-order cone optimization problem. Then consider the corresponding investment Combinatorial optimization problem: how to choose the right position, so that when the expected return of the stock portfolio reaches a given level, the risk is the lowest, that is, the worst VaR is the smallest. Finally, the model is empirically analyzed.