Mean-VaR Analysis and CAPM-A Theoretical Development

摘要：

This paper analyzes the asset allocation decision-making process of a single investor in one-period horizon under the mean-VaR framework. We find that the decision-making process can be divided into two steps: Step one is to select the optimal risky portfolio and Step two is to determine the allocation ratio between the optimal risky portfolio and safe asset. In addition, we find that the optimal risky portfolio is independent from the investors wealth and risk preference. Then, we apply the above conclusions in a capital market in which many investors have the same expectation, and we get the Two Fund Separation Theorem under the mean-VaR framework. Finally, we allow the investors risk preference to change. If we use (Rf + VaR) to represent the investors risk, the expected return in equilibrium for any investor is linearly correlated with his risk, which means we get the CAPM and capital market line under the mean-VaR framework.

关键词： Value-at-Risk (VaR) Two fund separation theorem CAPM Capital market line

作者: LIU Yang HONG Jingyu

作者单位: School of Economic,Changsha University of Science & Technology, P.R.China,410076

会议类型: 国际会议

会议名称: The 5th International Annual Conference on WTO and Financial Engineering(第五届WTO与金融工程国际会议)

会议地点: 杭州

会议语种:英文

页码: 291-297

在线出版日期: 2008-05-18（万方平台首次上网日期，不代表论文的发表时间）