基于多元t分布和均值—方差模型的投资组合风险分析

发布时间：2018-03-31 19:35

本文选题：多元t分布　切入点：均值—方差模型　出处：《鲁东大学学报(自然科学版)》2016年02期

【摘要】：以四只不同行业的热门股票为例,选用多元t分布拟合具有尖峰厚尾性的日收益率数据,运用均值—方差模型和最大化夏普比率找出其最优投资比例,计算最优投资组合在不同置信水平下的风险价值、期望损失和中位数损失.数据分析表明:期望损失和中位数损失均可以弥补风险价值的不足,且中位数损失比期望损失更稳健.利用三个尾部风险指标值可以为投资者控制风险提供多方位的参照,以达到防范风险减少损失的目的.
[Abstract]:Taking four popular stocks in different industries as an example, using multiple t distribution to fit the data of daily yield with peak and thick tail, using mean-variance model and maximization Sharp ratio to find out the optimal investment ratio. The risk value, expected loss and median loss of the optimal portfolio at different confidence levels are calculated. The data analysis shows that both the expected loss and the median loss can compensate for the deficiency of the risk value. The median loss is more robust than the expected loss, and the use of the three tail risk indices can provide a multi-directional reference for investors to control the risk, in order to achieve the purpose of risk reduction.
【作者单位】：北京工商大学理学院;
【基金】：国家自然科学基金(61304155) 北京工商大学研究生部促进人才培养综合改革项目(19005428069)
【分类号】：F832.51;F224

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