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The Investment Portfolios Risk Measures: VaR Constrained The Permission Has Non-risk Property Investment Mean-Variance Model In Portfolio Selection

Posted on:2008-06-26Degree:MasterType:Thesis
Country:ChinaCandidate:B LangFull Text:PDF
GTID:2189360215455343Subject:Finance
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Risks arising from the uncertainty of the real world and their understanding of the limited nature of mankind, because of the potential risk of harm. Therefore, it should be effective monitoring. Walter Wriston, former chairman of the board of Citigroup has said that "life is full of risk management,not eliminate risk"2,Thus the risk of research aimed at effective risk management. In the advent of the greatest risks to the extent it might reduce the damage, and the proceeds from the corresponding risk. This is a process of risk management.In the advent of the greatest risks to the extent reducing it might lead the damage, and the proceeds from the corresponding risk,This is a process of risk management. Risk is defined the possibility of losses by uncertain factors practical significance, Measuring risk is thus a narrow sense, refers to estimation a specific risk of loss probability and extent of the loss ; Broadly should make a comprehensive analysis of the subjective factors : the risk of loss of the relative and the comprehensive nature. Because of the potential risk for investors is a strong danger, there will be an effective control. How effective risk management and to further exploring investment portfolio risk measurement methods, it is important, and difficult to study the development of modern portfolio theory. This is the direction and focus of this paper.Portfolio Theory research under conditions of uncertainty in the future how to make an expected return of assets and the risks achieve a reasonable balance by limited types of assets. Harry Markowitz in 1952 first proposed a scientific means of investment portfolio options -- Mean-Variance, has laid a solid foundation and, since then, Portfolio measure is expected to yield proceeds variance or standard deviation to measure portfolio risk analysis in the framework of the financial sector which has been established. However, in everyday life, Investors often when making investment decisions require further losses of the portfolio under a certain level of confidence,which can not exceed Prior to the loss of value. Based on recent in practice and risk control VAR has become the standard measurement tools and is the most popular international financial risk management, This paper focuses on the binding of the VaR model portfolio.In addition, in the real investment, In order to reduce the investment risk investors often invest part of the funds in risky assets (such as bank deposits, Treasuries),so research portfolio of risky assets become inevitable. Therefore, this paper will discuss in spreading model portfolio bound under the VaR to model portfolio of the presence of the risk-free asset,and ultimately achieve efficient frontier equation.From this research ideas : firstly the concept of risk management and reviews about theory, Risk assessment method to study Perspective , combining Risk Measurement of traditional and modern achievements in theoretical research. Based on the classic Markowitz's portfolio selection model, put forward model of allowing hold of the risk-free asset portfolio under VaR constraints. Reaserching on the solution of the model,find the analytical expression of an effective investment strategy and efficient frontier equation (effective border equation) of the investment portfolio under VaR constraints. And compare the general investment portfolio model under Mean-Variance constraint, VaR a certain extent, improved the investment portfolio theory in a lack of risk measurement. Which introduce of an empirical analysis there are different circumstances between the rate of borrowing and lending of risk-free assets, and analyze the affection which VaR constraints adds to investment choices of investors, give a farewell dinner party on the practical significance of the theory.
Keywords/Search Tags:VaR model, VaR constraint, mean-variance model, Portfolio selection
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