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Var And Cvar Risk Control Under The Log-optimal Portfolio Model

Posted on:2005-06-18Degree:MasterType:Thesis
Country:ChinaCandidate:S TanFull Text:PDF
GTID:2206360122481379Subject:Applied Mathematics
Abstract/Summary:PDF Full Text Request
Portfolios theory is one of the important research contents in Economics. It aims to attain the portfolios of the maximum of investment's return with the given value of the risk of portfolios or of the minimum of investment's risk with the given level of the investment's return. VaR (value-at-risk) and CVaR (conditional value-at-risk), which are new risk measurement methods, are put forth recently. Because of its eminent properties, CVaR is given attentions by more and more researchers in particular, and becomes a latest research content in finance's risk management.The classic model in portfolio's theories was introduced at first, which was the mean-variance model, the latest research results were discussed, and the optimal portfolio with the consideration of the inflation rate was researched in particular. Then, on the foundation of the definitions of VaR and CVaR, the log-optimal portfolios models with the risk control of VaR and CVaR were proposed. The properties of the existence and uniqueness of the optimal solutions of the two models were proved and the difference of these models was compared. The Genetic Algorithms were designed, which were used to solve these models and gave the number imitations of these models. On basis of above researches, the multi-periodic log-optimal portfolios models with the risk control of VaR and CVaR were researched further, and the properties of the existence and uniqueness of the optimal solutions of the two models were proved and other properties of the two models were discussed too. Finally, we got together the paper and mentioned the directions of the further research.
Keywords/Search Tags:portfolio, VaR, CVaR, Log-optimal portfolios models, GA, risk control, mean-variance model
PDF Full Text Request
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