A modified VaR model for portfolio optimization problem

被引：0
|
作者：
Lu, Yang [1 ]
机构：
[1] Northeastern Univ, Shenyang 110004, Peoples R China
来源：
ADVANCES IN BUSINESS INTELLIGENCE AND FINANCIAL ENGINEERING | 2008年 / 5卷
关键词：
VaR; portfolio management; genetic algorithm; factor analysis;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, we study extensions of the classical Markowitz' mean-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.
引用
收藏
页码：498 / 502
页数：5
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