VaR Based Assets Portfolio Optimization Model with Risk Measure

摘要

By means of analyzing Yong's minimax portfolio selection model, a novel risk function is introduced with risk measure considering risk and extra return factors. The risk factor can tune the effects of asset yield on the investment decision, and the extra return factor can control the effects of assets portfolio's margin on the investment decision. Furthermore, an assets portfolio optimization model is designed based on the risk function. To solve the model, it is converted to a linear programming model. With actual data of the stock market, computational experiments show that the proposed model is effective and practicable.