Research On Portfolio Selction Model Under Convex Risk Measures

The global financial crisis happenned in 2008 brought a huge crash on the major investment banks as well as significant impact on investors around the world. As a result, all of them are suffering huge economic losses. One of the financial crisis'effects is that supervisors begin to ask for a much more strict supervision of financial institutions, require more careful risk control. Thus, a more reasonable measure of risk on portfolios becomes particularly important.In this paper, based on theoretical research and empirical research, a systematic study on convex risk measure of portfolio selection model was issued. Firstly, the portfolio theory and risk measurement theory are introduced, and drawbacks of the traditional risk measurement methods as a good method measuring portfolio's are carefully described. Basing on that, this paper turns to the famous coherent risk measurement. In chapter 3 of this paper, it provides the contents of the conherent axioms of risk measurement and their economic contents, and then introduces a coherent risk measurement method whish is CVaR risk measure. In Chapter 4, this paper presents the concepts of convex risk measures and also some the main methods, and the differences and similarities between coherent risk measures and convex risk measures are compared, In this paper, it also describes methods for convex risk measures and the information entropy risk measure is detailedly analyzed. Finally, Chapter 5 discusses in detail convex risk measuers of portfolio selection models and respectively were built based on GCVaR risk measurement method and information entropy risk measurement method. In the former study, the paper discusses how the confidence level influences the efficient frontier of GCVaR model and furthermore the empirical analysis is done; for the latter, based on maximum entropy principle this paper bulits the mean-information entropiy risk portfolio selection model and furthermore a comparative study between the mean-entropy portofolio selection modeal and Markovitz's mean-variance portfolio selection model is carefully discussed on both aspect of real meaning and mathematic meaning.This paper makes a systematical research on risk measurement, which could help to further theoretical research. In addition, a detailed analysis of portfolio selection model which bases on convex risk measures is also deserved considerable practical significance.