| 基于风险调整后资本收益率的最优资产投资组合 |
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| 引用本文： | 吴道煜,尹红霞.基于风险调整后资本收益率的最优资产投资组合[J].中国科学院研究生院学报,2008,26(6):726-731. |
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| 作者姓名： | 吴道煜 尹红霞 |
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| 作者单位： | 1. 中国科学院研究生院数学科学学院,北京,100049
2. 中国科学院研究生院数学科学学院,北京,100049;中国科学院虚拟经济与数据科学研究中心,北京,100080 |
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| 摘 要： | 通过极大化风险调整后的资本收益率(RAROC)，建立了一个最优资产投资组合方案。根据RAROC的分式结构，以及回报函数和风险函数通常是关于投资额的齐次函数，将分式优化问题转化为对其分母的最优化。当风险资产期末回报率服从正态分布，风险度量采用在险价值或条件在险价值时，极大化RAROC的问题可以转化为目标函数为二次平方根函数，约束为线性灯饰和不等式的最优化问题，此时可以利用二阶锥优化模型进行求解。
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| 关 键 词： | 最优资产投资组合 风险调整后资本收益率 在险价值 条件在险价值 齐次函数 |
Optimal portfolio selection based on maximizing risk-adjusted return on capital |
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| WU Dao-Yu,YIN Hong-Xia.Optimal portfolio selection based on maximizing risk-adjusted return on capital[J].Journal of the Graduate School of the Chinese Academy of Sciences,2008,26(6):726-731. |
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| Authors: | WU Dao-Yu YIN Hong-Xia |
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| Institution: | 1 School of Mathematics, Graduate University of the Chinese Academy of Sciences, Beijing 100049, China; 2 Research Center of Fictional Economy and Data Science, Chinese Academy of Sciences, Beijing 100080, China |
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| Abstract: | In this paper, we consider an optimal portfolio selection method based on maximizing risk-adjusted return on capital(RAROC) of the portfolio. The fractional structure of the objective function maximizing RAROC makes it difficult to be solved. We noticed that in real financial practice, the expected return function and risk function of the portfolio are often homogeneous with the amount of investment. Under some conditions we proved that the problem can be solved by minimizing its denominator in certain constraints. When random return follows normal distribution, it maximizes RAROC problem associated with risk measure, such as Value at Risk(VaR) or Conditional Value at Risk(CVaR), can be reformulated as a problem that minimizes a square root function with linear constraints. The latter problem can be solved by using excising second order cone optimization software. |
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| Keywords: | optimal portfolio RAROC VaR CVaR homogeneous |
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