A Mean-VaR Analysis Of Arbitrage Protfolios

After being proposed in 1993, the Value at risk(VaR) approach has become the standard for risk management industry. So the mean-VaR analysis of investment portfolios is very important in either academic field or practice.Compared to the mean-VaR analysis of investment portfolios, this paper has done a mean-VaR analyisis of arbitrage portfolios, based on the definition of arbitrage portfolios by fangshuhong(2006). The comparative analysis of the arbitrage portfolio bound and investment portfolio bound show that: the mean-VaR frontier of arbitrage portfolios is effcient under the mean variance framework, and vice versa.As arbitrage portfolios correspond to the commercial bank and the insurance company's operation mode, the mean-VaR analysis of arbitrage portfolios will show guiding significance to the risk management of commercial banks or insurance companies.