基于最大风险承受能力的投资组合选择

发布时间：2018-01-15 09:35

本文关键词：基于最大风险承受能力的投资组合选择　出处：《天津财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：在以往的投资决策和资产选择研究中,虽然多数研究都假设投资者具有风险规避的特征,但却忽视了“死亡风险”的存在以及投资者对“死亡风险”的重视。这种状况不仅明显存在逻辑上的非一致性,而且也与实践脱节。随着金融创新的不断推进,投资“杠杆化”趋势的不断增强,以及由“杠杆化”引发的更为紧密的经济联系,使投资者“死亡风险”可能成为引发金融危机的重要来源。因此,无论在理论上还是在实践中,对“死亡风险”的研究变得愈来愈迫切。本文试图通过将“死亡风险”问题对应转化成行为人或者投资者的最大风险承受能力问题,结合VaR最新理论进展,从行为金融学的视角来研究投资者的资产选择及其风险控制。基本研究思路是,从“死亡风险”的基本概念及经济特征出发,通过对“死亡风险”与最大风险承受能力的比较分析,将“死亡风险”转化为最大风险承受能力。在此基础上,详细讨论了最大风险承受能力与VaR的关系,借助VaR的传统算法和最新进展,从行为金融学的视角来探讨基于最大风险承受能力约束的期望—VaR组合模型和基于最大风险承受能力约束的期望一CVaR组合模型,并详细讨论了两类模型的求解。主要内容包括：一、“死亡风险”、最大风险承受能力、VaR的经济联系及其核心内容的一致性；二、“死亡风险”、Copula理论、极值理论与VaR的度量；三、基于行为金融学视角的最大风险承受能力约束下的投资组合模型构建；四、最大风险承受能力约束下的投资组合模型求解；五、案例分析与经验证据。无论从理论分析还是从经验证据上看,基于最大风险承受能力约束的期望—VaR组合模型和基于最大风险承受能力约束的期望—CVaR组合模型都是对传统投资组合模型的进一步修正,且基于最大风险承受能力约束的期望—CVaR组合模型要相对优于基于最大风险承受能力约束的期望—VaR组合模型。
[Abstract]:In previous studies on investment decision and asset selection, most studies have assumed that investors have the characteristics of risk aversion. However, it ignores the existence of "death risk" and the attention of investors to "death risk". This situation not only has obvious logical inconsistency, but also disconnects with practice. The growing trend towards "leverage" in investment, as well as the closer economic ties triggered by "leverage", make the risk of death of investors an important source of financial crisis. In theory and in practice, the study of death risk is becoming more and more urgent. This paper attempts to transform the "death risk" problem into the maximum risk bearing capacity of the actor or investor, combining with the latest development of VaR theory. From the perspective of behavioral finance, this paper studies the choice of investors' assets and their risk control. The basic idea of the research is to start from the basic concept and economic characteristics of "death risk". Through the comparative analysis of the "death risk" and the maximum risk bearing ability, the "death risk" is transformed into the maximum risk bearing ability. On this basis, the relationship between the maximum risk tolerance and VaR is discussed in detail. With the help of VaR's traditional algorithms and recent developments. From the perspective of behavioral finance, this paper discusses the expected VaR combination model based on the maximum risk tolerance constraint and the expected CVaR combination model based on the maximum risk tolerance constraint. The solution of two kinds of models is discussed in detail. The main elements include: First, "death risk", the maximum risk bearing capacity and the consistency of VaR's economic relation and its core content; Second, the "death risk" Copula theory, extreme value theory and the measurement of VaR; Thirdly, the portfolio model is constructed under the constraint of maximum risk tolerance from the perspective of behavioral finance. Fourth, the solution of portfolio model under the constraint of maximum risk bearing capacity; Fifth, case analysis and empirical evidence. From both theoretical analysis and empirical evidence. Both the expected VaR portfolio model based on the maximum risk tolerance constraint and the expected CVaR portfolio model based on the maximum risk tolerance constraint are further modifications to the traditional portfolio model. Moreover, the expected CVaR combination model based on the maximum risk tolerance constraint is better than the expected VaR combination model based on the maximum risk tolerance constraint.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F830.59

【参考文献】