稳定分布下基于不同风险度量的投资组合研究.pdf

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10、ÜŒýélºx²diAbstractAsacoretopicofmodernnance,portfolioproblemresearchesmainlyundertheconditionofuncertaintyontheoptimalallocationandselectionofassets,thusachievingthebalancebetweenreturnmaximizationandtheri

11、skminimization.Intheyear1952,Markowitzappliedthevarianceoftheassetsreturnsformeasuringriskandproposedthemeanvarianceportfolioselectiontheoryforthersttime[1],whichisconsideredtohavepioneeredthemodernportfoliotheoryandlaidthefoundationofthequantitativestudyofnanc

12、ialinvestmentproblems.However,Markowitzbasedhismean-varianceportfoliomodelontheconditionthattheassetreturnsfollowsthenormaldistributionandthatthevariancedoesexist.However,largenumbersofempiricalstudyshowthatboththenormaldistributionassumptionofreturnsandtheexiste

13、nceofvariancearequestionable.Inaddition,basedonMarkowitz'stheoreticalframework,theportfoliomodelisstrictininputparameters.However,itisverydiculttopredictthefutureassetreturnsaccuratelyandtoforecastthecorrelationamongthefutureassetsindierenteconomicenvironmentdu

14、etothetime-varyingcorrelationamongassets.Inviewoftheaboveproblem,thispaperwillstudytheportfoliotheorywithdierentriskmeasuresandthestabledistributioncharacterizedofheavytails.Consideringthatthestabledistributionisafour-parameterdistributionandthatthereisnoexplici

15、tdensityfunction,thispaperstudieshighecientalgorithmstoreducethecomputationalcomplex-itythatthestabledistributionbringstothemodel.Intheempiricalresearchpart,e