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通过对Markowitz投资组合模型的简要分析,指出其存在缺陷。VaR是近年来最为流行的风险管理工具。本文将VaR约束引入Markowitz投资组合理论中,建立基于VaR约束下的投资组合模型。
Through a brief analysis of the Markowitz portfolio model, it points out its shortcomings. VaR is the most popular risk management tool in recent years. This paper introduces VaR constraint into Markowitz portfolio theory and establishes a portfolio model based on VaR constraints.