基于条件风险价值的长寿森林大世界投资风险分析
发布时间：2018-10-10 19:00
【摘要】：出于对林业发展的重视,对生态旅游项目的关注,黑龙江省委、省政府在"十二五"期间着力促进林业产业结构的合理调整,重点推进林业生态旅游项目。随着森林生态旅游项目成为一种颇受大众关注的旅游项目,其投资的风险性也开始逐渐受到越来越多的投资者的关注。将风险价值(Value at Risk,简称VaR)和条件风险价值(Conditional Value at Risk,简称CVaR)两种风险管理工具引入到长寿森林大世界森林生态旅游项目投资的风险管理中,建立单个投资项目的风险管理模型,并以CVaR为优化目标,通过求解随机规划问题得到使CVaR最小化的投资组合比例,以实现对同时投资多个项目的创业投资基金的风险控制。
[Abstract]:In order to pay attention to forestry development and ecological tourism projects, Heilongjiang Provincial Committee and provincial government put great efforts to promote the rational adjustment of forestry industrial structure during the "Twelfth Five-Year Plan" period, and put emphasis on promoting forestry eco-tourism projects. With the forest ecotourism project becoming a popular tourism project, the risk of its investment has gradually been concerned by more and more investors. Risk value (Value at Risk, (VaR) and conditional risk value (Conditional Value at Risk, (CVaR) are introduced into the risk management of forest ecotourism project in the big world of longevity forest, and the risk management model of a single investment project is established. With CVaR as the optimization goal, the portfolio ratio of CVaR is obtained by solving the stochastic programming problem, so as to realize the risk control of venture capital funds that invest in multiple projects at the same time.
【作者单位】： 东北林业大学;
【分类号】：F592;F326.2;F224
[Abstract]:In order to pay attention to forestry development and ecological tourism projects, Heilongjiang Provincial Committee and provincial government put great efforts to promote the rational adjustment of forestry industrial structure during the "Twelfth Five-Year Plan" period, and put emphasis on promoting forestry eco-tourism projects. With the forest ecotourism project becoming a popular tourism project, the risk of its investment has gradually been concerned by more and more investors. Risk value (Value at Risk, (VaR) and conditional risk value (Conditional Value at Risk, (CVaR) are introduced into the risk management of forest ecotourism project in the big world of longevity forest, and the risk management model of a single investment project is established. With CVaR as the optimization goal, the portfolio ratio of CVaR is obtained by solving the stochastic programming problem, so as to realize the risk control of venture capital funds that invest in multiple projects at the same time.
【作者单位】： 东北林业大学;
【分类号】：F592;F326.2;F224
【参考文献】
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