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Research On Multi-Stage Stochastic Programming Models For Asset Allocation And Their Application

Posted on:2009-10-17Degree:MasterType:Thesis
Country:ChinaCandidate:H YeFull Text:PDF
GTID:2189360245467786Subject:Finance
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Asset allocation is that security investment funds chooses to optimize asset potfolio in order to get the largest earnings on the same risk or reach the minimum risk on the same earnings under the condition of neutral financial market. The initial asset allocation technology originated in Makowitz (1952) mean-variance (MV) optimization model, the most significance of the MV-model in the field of asset allocation made it almost with the same concept of asset allocation. With the aggravation of fluctuation on various yield rates and financial risk, the attribute of single-stage of MV-model limits of its application.Consequently,it is high time that financial researcher amend asset allocation models to get more advanced asset allocation models. In overseas there are a lot of progress in the sphere of dynamic asset allocation research. Unfortunately,these reseach results don't take into account asset allocation risk,but dynamic asset allocation problems.In China, Yao Jing builded mean-VaR model which use replacing-variance to measure risk,and took into account the existence of risk-free assets, liabilities, and non-normal distribution.These models have considered the VaR restraint, though they have not took into account uncertain future economic environment, which limited to their applications.In this paper,I review the importance of asset allocation, VaR theory, dynamic and static asset allocation strategy in the beginning.Then I discuss a new multi-stage financial asset allocation model model which is based on VaR. VaR constraint is introduced into Carino's model in order to avoid portfolio's bearing too much risks in the the process of asset allocation.The empirical research based on internal realistic economic environment is carried out by taking Fund Yin Feng as the object of study and make contrasting between Fund YinFeng's real asset allocation and constant ratio strategy.
Keywords/Search Tags:Multi-stage Stochastic, Asset Allocation Model, Security Investment Fund, VaR
PDF Full Text Request
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