The Demonstration Of Portfolio Selection Under VaR Restriction

The theory and the practice of modern Portfolio Selection are based on theclassic Harry Markowitz Portfolio Selection. Harry Markowitz put PortfolioSelection forward in 1952,which puts up secondary programming model and uses theavail function theory to select the best combination by indifference curve. In mostinstitutions, which analyze by mathematics, the means used to decide and manageare based on the Portfolio Selection. In practice, the theory still has many limitations,so there are more to improve. The model under the VaR restriction is developed and improved based onPortfolio Selection, which has been one of the important problems in internationalinvestment field as a new try. The model changes the investors' ideals in investing,which can predict and provide against risk before making decision. To some extent,VaRhas promoted the role to take precautions against risk. Our securities market's beginning is pretty late. The market is not mature andthe environment of speculation is playing a leading role from beginning to now .Topromote the development of secondary market, it is very necessary to introduce anddraw on Portfolio Selection. VaR model, whose development is based on originalmodel, is important in risk precautions. With China joining in WTO, the securitiesinvestment combination will have more financial products and the risks will bevaried. The model is more synthetical and practical in risk calculation. This paper is mainly to analyze VaR model in practice. Firstly, to research themodel characters compared with Portfolio Selection. Secondly, to select severalsecurities in securities market to analyze then calculate the proportions according todifferent VaR values by computer programming and make securities combination.Research the result forward and find the problems according to the result.