基于几种风险测度的多阶段组合优化研究

摘要

基于均值-方差(MV)、VaR(Value at Risk)、CVaR(Conditional VaR)、HMCR(p=1,2,3)(Higher Moment Coherent Risk)几种风险测度进行多阶段组合优化研究.首先从一致性公理和随机占优一致性角度分析几种风险测度的风险识别能力,认为HMCR(p =2,3)的风险识别能力最高,然后给出静态和动态下的风险规避型的规划函数及多阶段CVaR和HMCR模型,最后依据单阶段和多阶段优化模型,对上证50指数成份股进行实证分析.对比单阶段和多阶段下几种风险测度优化组合的累计收益率及几种风险测度之间的关系,结合上证50指数收益率发现,多阶段优化组合要整体优于单阶段优化组合,且HMCR(p=2,3)要优于指数收益率和其它几种风险测度.从投资者投资决策方面来分析,HMCR(p =2,3)型积极投资策略比较适用于股市平稳期、顶峰期和下降期,被动投资策略比较适用于股市上升期.%This paper utilizes Mean-Variance (MV),VaR (Value at Risk),CVaR (Conditional VaR),HMCR (p =1,2,3) (Higher Moment Coherent Risk)to build multistage portfolio optimization.Firstly,testing the ability of discrimination for risk from the perspective of the coherent axiom and the consistence with stochastic dominance,and the HMCR(p =2,3) are much better than other risk measures.Then,we introduce the risk averse planning function under static and dynamic condition,and conditional versions of CVaR and HMCR.Finally,we give an empirical analyzes of constituent stocks of SSE 50 index and the index itself,and according to the cumulative returns of these risk measures portfolios and SSE 50 index,we find that multistage portfolios are better than single-stage portfolios,HMCR(p =2,3) are much better than SSE 50 index and the other risk measures.In addition,we consider the investors' investment decision,and find that the positive investment strategy of HMCR (p =2,3) can get a high cumulative returns in the stable period,peak period and decline period of stock market,and the negative investment of index would be much better in the rise period of stock market.