摘要
VaR在投资组合应用中存在的两个缺陷:一是不满足一致性公理,二是尾部损失测量的非充分性,这些缺陷可能导致组合优化上的错误。当且仅当组合回报服从正态分布时。VaR才能应用于组合优化,这极大地限制了VaR在投资组合管理中的适用范围。本文最后介绍了CVaR模对VaR模型的改进及其在投资组合优化中的应用。
VaR has two shortcomings in portfolio management, one is that VaR dissatisfies the Coherent Axiom, the other is that the tail - loss measurement is not sufficient. These two shortcomings may result in the failure of portfolio optimization. The fact that VaR can be applied in portfolio optimization iff the portfolio return is normal distribution has formed a great limitation in the scope of portfolio management. Finally, this paper introduces the improvement CVaR model made on VaR model and its application in portfolio optimization.
出处
《财贸经济》
CSSCI
北大核心
2003年第12期46-49,共4页
Finance & Trade Economics
基金
国家自然科学基金资助
项目名称:非瓦拉斯均衡条件下的资产组合风险价值模型
编号:70371035。
