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首先对静态线性损失厌恶下的最优资产配置策略模型及其性质进行了分析,构建了基于TGARCH-EVTPOT-GPD的动态市场风险测度方法,提出了时变损失厌恶条件下基于动态条件风险约束的ETF基金最优资产配置策略模型,并基于遗传算法进行了求解。实证研究发现:当参考收益率及CVaR置信水平固定时,随着损失厌恶系数的增大,投资者采用大幅调整资产权重的方式来获得盈利的行为将逐渐减少;当参考收益率及损失厌恶系数固定且CVaR置信水平变化条件下,置信水平越高,损失厌恶投资者更偏好风险较低的资产,其对于投资风险的估计将更加敏感,投资策略更为保守;损失厌恶系数较高置信水平固定时,随着参考收益率的增加,单项资产的CVaR逐渐减小;在置信水平较高时,随着损失厌恶系数的增加,即使参考收益率增加,但投资组合的超额损失平均水平降低。
Firstly, the optimal asset allocation strategy model and its properties under the static linear loss aversion are analyzed. A dynamic market risk measure method based on TGARCH-EVTPOT-GPD is constructed, and the dynamic market risk measure based on the dynamic conditional risk constraint ETF fund optimal asset allocation strategy model, and solved based on genetic algorithm. Empirical results show that when the reference rate of return and the CVaR confidence level are fixed, as the loss aversion coefficient increases, investors will gradually reduce their profit by adopting the method of adjusting asset weights drastically. When the reference rate of return and the loss aversion coefficient Under the condition of fixed and CVaR confidence level, the higher the confidence level, the higher the level of confidence is, the less preference the investors prefer the less risky assets, which is more sensitive to the estimation of investment risk and the investment strategy is more conservative. The higher the loss aversion coefficient is, the higher the confidence level is , The CVaR of individual assets decreases with the increase of the reference rate of return. When the level of confidence is high, with the increase of loss aversion coefficient, the average level of excess loss of the portfolio decreases even though the reference rate of return increases.