A modified VaR model for portfolio optimization problem

摘要：

In this paper,we study extensions of the classical Markowitzmean-variance portfolio optimization model,and VaR is used as risk measure.As is well known,VaR is not sub-additive.This problem will be partially solved by introducing a new variable diversification besides income and VaR in our modified model.Empirical tests on Shanghai Stock 50 Index show that the new model promotes diversification.

关键词： VaR portfolio management genetic algorithm factor analysis

作者: Yang Lu

作者单位: Northeastern University 110004

会议类型: 国际会议

会议名称: The 2008 International Conference on Business Intelligence and Financial Engineering(BIFE 2008)(商业智能和金融工程国际会议)

会议地点: 长沙

会议语种:英文

页码: 498-502

在线出版日期: 2008-10-28（万方平台首次上网日期，不代表论文的发表时间）