| 基于CVaR的债券投资组合模型 |
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| 引用本文： | 申飞飞,杨柳.基于CVaR的债券投资组合模型[J].经济数学,2014(2):64-68. |
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| 作者姓名： | 申飞飞 杨柳 |
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| 作者单位： | 湘潭大学数学与计算科学学院; |
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| 基金项目： | 国家自科青年基金(11301445);湖南省教育厅优秀青年项目(13B121) |
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| 摘 要： | 针对债券投资组合中的风险度量难题,用CVaR作为风险度量方法,构建了基于CVaR的债券投资组合优化模型.采用历史模拟算法处理模型中的随机收益率向量,将随机优化模型转化为确定性优化模型,并且证明了算法的收敛性.通过线性化技术处理CVaR中的非光滑函数,将该模型转化为一般的线性规划模型.结合10只债券的组合投资实例,验证了模型与算法的有效性.
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| 关 键 词： | 债券投资 收敛性分析 历史模拟法 随机优化 |
Bond Portfolio Optimization Based on CVaR |
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| SHEN Fei-fei,YANG Liu.Bond Portfolio Optimization Based on CVaR[J].Mathematics in Economics,2014(2):64-68. |
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| Authors: | SHEN Fei-fei YANG Liu |
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| Affiliation: | (Department of Mathematic,Xiangtan University,Xiangtan,Hunan 411105,China) |
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| Abstract: | This paper considered the risk measurement for the bond portfolio problems.By using the CVaR measure method,we set up a new risk optimization model for the bond portfolio problem.The stochastic optimization model was converted into a deterministic optimization problem by using the historical simulation method.Furthermore,the convergence of the algorithm was also proved.Through the linear programming method dealing with the non-smooting function of CVaR,the model could transform into a common linear programming model.Examples of portfolio investment with ten bonds were given to verify the validity of the model and the method. |
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| Keywords: | CVaR CVaR bond portfolio convergence analysis historical simulation method stochastic optimization |
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