﻿ 基于时间加权历史模拟法的VaR来构建最优投资组合

# 基于时间加权历史模拟法的VaR来构建最优投资组合Constructing the Optimal Portfolio Based on VaR of Time-Weighted History Simulation Method

Abstract: On the assumption that yields obey the normal distribution, mean-variance model is frequently used in the optimal portfolio; but in many cases, yields don’t obey the normal distribution. Firstly, we construct a measure index of stock investment value and sort the merits of stock by the index. Then the VaR of portfolio is calculated by using the time-weighted history simulation method and Mean-VaR model is built accordingly. Finally, the optimal portfolio of Chinese stock market is con-structed by using the Mean-VaR model, and the risk of optimal portfolio is predicted. The assump-tion of normal distribution can be avoided effectively by using this method.

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