The Research On Maximizting Portfolio Utility Based On The Constraint Of Value At Risk

Accompanied by economic globalization and financial market integration,and also the liberalization of investment and financial innovation deeply, deepen impact on financial market factors is also becoming more and more complex,the volatility and risks facing by financial market are constantly increasing,thus causes investor's the uncertainty which faces in money market investment yield to be also getting bigger and bigger. Therefore carries on the effective guard and the management to the financial risk is the urgently needed solution major issue which the financial organ and the investor face together.In 1952, Modern portfolio theory founder Harry M Markowitz advanced his property portfolio management theory for the first time. He thought that so long as two kind of property returns ratio's correlation coefficient is not 1 (namely is being not completely related), Then the dispersion investment may reduce the risk in these two kind of properties(unsystematic risk). But regarding investment profolio, so long as composes and the property mutual independence quantity enough many words, its non-systematic risk may eliminate completely through the decentralized investment. Fully had also proven in people's long-term practice the decentralized combination investment is one management risk effective method. In addition, one new risk management method,the Value-at-Risk method, Also said that since the dangerous value, one kind to the risk quota control's management, has received various countries in the 1990s the organization and the investor widely takes seriously and utilizes. The current VaR risk management method has become each big bank, the insurance company, the negotiable securities company, the fund company as well as the finance Supervisory department and so on carries on the investment risk measure, the property disposition and the achievements appraisal important tool. How therefore to utilize the VaR method in the investment profolio theory to carry on to the financial risk the synthesis the appraisal and the management, causes the investor to obtain the greatest income to undertake lowest risk this question has the research value very much.This article is mainly utilizes risk management tool VaR (risk value) the control risk, effectiveness maximization's goal assigns each property according to the investor in the investment profolio efficiency frontier, has established based on the risk value (VaR) the returns ratio restraint investment profolio effectiveness maximization decision model. This article textual material first is existing carries on the research outline to the investment profolio and the VaR domain related literature. Then has given the financial risk definition, carries on the classification according to the different standard to it, mainly elaborated the systematic risk and the non-systematic risk difference and the relation; Has given the combination returns ratio and the variance computing mode. Then carries on the elaboration to the article correlation theories, including to the efficiency frontier theory, the non-difference curves, the utility function and the VaR elementary theory carries on the elaboration, used the mathematical inferential reasoning the way to obtain in has picked a combination expectation returns ratio under the condition, obtained the smallest combination variance, then obtained the combination the efficiency frontier mathematics equation; giving expressed that the non-difference curves' individual utility function and has analyzed effectiveness maximization principle; Has given the question which in the VaR definition, the estimate method, the merit and the utilization process need to pay attention. Was after again infers joined the risk value VaR returns ratio restraint, to the investor efficiency frontier influence namely reduced investor's efficiency frontier, then introduced the investor individual utility function again, has established based on the risk value VaR returns ratio restraint investor effectiveness maximization optimization decision model. Obtains works as effectiveness biggest equity portfolio when VaR control boundary, this combination namely for the most superior combination; When effectiveness biggest equity portfolio when VaR control boundary, in the VaR boundary the effectiveness biggest combination is the most superior combination. Finally used the example to prove the introduction risk value VaR returns ratio restraint's optimized model satisfied in effectiveness with the risk control aspect surpasses obviously does not have the risk value VaR restraint situation.This article has mainly established based on the VaR returns ratio restraint investment profolio effectiveness maximization model. Firstly,combines effectiveness maximization take the investor as the policy-making goal, changed the existing research is mostly subjectively gives the risk by chance or the income for the premise determined by chance the most superior asset portfolio the present situation, has manifested the asset portfolio optimization is causes the investor expected utility maximization the policy-making this essence attribute, has solved the decision model with the policy-making goal consistent question. Secondly,uses the VaR returns ratio the biggest amount of loss, but is not the income volume form indicated that enhanced the combination analysis conveniences. Thirdly,joined the VaR control balance investor to pursue effectiveness most greatly with the risk control request contradiction, because avoided the investor pursuing effectiveness to be biggest and possibly to cause the risk purely faced with the out of control danger. Therefore this article research regarding some investment style quite steady namely conservative or the risk loathing's investor, has well profits from the value.