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The Optimization On The Mean-CVaR Portfolio Selection Under Friction Market

Posted on:2015-03-31Degree:MasterType:Thesis
Country:ChinaCandidate:Y T ZengFull Text:PDF
GTID:2309330467966377Subject:Management Science and Engineering
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Markowitz put forward the mean-variance model, and it is the beginning of thedevelopment of portfolio theory, a growing number of scholars on this basis put forwardnew ideas and models, it called modern portfolio theory. Portfolio theory, the choice ofrisk quantification has been one problem should be solved, scholars put forward manyrisk measurement methods for this problem. VaR has been widespread concern in recentyears. VaR not satisfy times additive, not necessarily satisfy convexity and it assume themarket is normal. Therefore, in order to solve the lack of VaR, CVaR replaced it.This thesis studied three friction factor about mean-CVaR portfolio model, the firstis the mean-CVaR portfolio model with the constraints of borrowing and lending rates,analyzes the borrowing rate is not at the same time, and finally used the method ofsequence planning and rotation algorithm to analyze and solve the model and obtain theoptimal investment strategy; the second is the mean-CVaR portfolio model with the non-smooth Concave Transaction Cost, studied the practical impact on investmentdecisions based on the proportion of the investment division of the different segments oftransaction costs, and use of the linear fit to solve the model; the third is the mean-CVaR portfolio model with cardinality constraint, joined the non-linear membershipfunctions, investor using CPLEX software to solve0-1mixed integer programmingproblems, and find the optimal investment strategy. Three different explanations toexplain the different effects of different friction factor on the market, when in theinvestment process, investor can consider different friction factor and give effectivesuggestions.
Keywords/Search Tags:mean-CVaR, mean-under the semi-variance, borrowing and lending rates, transaction costs, cardinality constraint
PDF Full Text Request
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