Research On Portfolio Model Based On Different Risk Measurement

Modern investment theory originated in 1952. Markowitz proposed the method of portfolio selection. Recent years, portfolio model has a wide range of development in theory and application. But it still faces many problems and challenges. For example:the selection of risk measurement, cost problem, constraints problem, portfolio problem. According to the portfolio construction process, this thesis analyses cost problem. According to the "rush" and "fat tail" distribution features of the return rates on financial assets, we use stable distribution characteristics as the starting point for mathematical modeling portfolio. In this thesis, the main research work and innovation are as follows:(1) This thesis introduces the mean-VaR model and defines the opportunity cost and transaction cost. Under the assumption of the normal distribution, we constructs the yield function of opportunity cost and transaction cost.The function as follow: In VaR risk measurement, we build mean-VaR model of opportunity cost and transaction cost.The model as follow: . Finally, we give the optimal strategy of the model analytic expression and the efficient frontier curve equation. It discuss the opportunity cost and transaction cost changes for the efficient frontier and the optimal solution of the model.(2) This thesis introduces the properties and the definition of stable distribution. According to the condition of stable distribution and the market model, we try to build an new model. The model takes into account the opportunity cost and transaction cost factors. It uses the final total cost of portfolio to measure the asset returns and uses the disturbance of the scale of the parameters to measure risk. The model as follow: When the disturbance is normal distribution, This thesis gives the model of optimal strategy:...