Adjust Model Of Multi-Period Portfolio Based On Skewness

Portfolio theory is one of the important research content in Economics. It aims to attain the portfolios of the maximum of investment's return with the given value of the risk of portfolio or of the minimum of investment's risk with the given level of the investment's return. VaR(Value- at-Risk),which are new risk measurement methods, are put forth recently and is given attentions by more and more researchers in particular, and becomes a latest research content in finance's risk management.The updated development situation of portfolio and the background of VaR are introduced at first. The latest extension models are discussed on basis of the classic model in portfolio's theories, which was the mean-variance model; on the foundation of the definition and characters of VaR, the computation methods and application are proposed. On constructing the model, the main innovations in the thesis are as follows.1. Extending the one-period portfolio model to multi-period. As the variation of the rate of the return and risk, in addition to the limitation of the money, the portfolio has exactly dynamic characteristics. So we construct the adjusting model of multi-period portfolio with transaction costs. And finally, a numerical example is displayed to test the model.2. Our model considers the factors of VaR limit, transaction costs and skewness simultaneously.Up to now, researches on avoiding the drawbacks of using MV model are limited on some sections of considering only transaction cost or only third moment. And the net expected return, which is one of the limit of the model, is the expected return subsided by the costs. Our model , which introduces VaR into the limits, considers the two factors above simultaneously under the assumption of investors` stated endurance,then the matrix form of the solution is discussed.Finally, we get together the paper and mentioned the directions of the further research.