文档介绍：哈尔滨理工大学管理学硕士论文VaR约束下的证券投资决策实证分析摘要现代投资组合理论和投资实践是以经典的Markowitz证券组合理论为基石的。证券组合理论是1952年3月,哈里·马科维茨(Harry Markowitz)首次提出的,该理论建立了投资组合二次规划模型,并利用效用函数理论给出了利用无差异曲线在投资组合有效集上选择最佳组合的方法。在使用数量化分析的大机构里,投资者所建立的投资决策工具和风险管理工具,大部分是基于马科维茨组合理论的基本原理。但在实际运作中,该理论还存在诸多局限,在实用化研究中还存在极大的拓展空间。基于VaR约束下的投资组合决策模型,是在原有的马科维茨投资组合理论的基础上发展起来的,为投资组合理论的研究开辟了新天地,这种新的尝试已经成为目前国际投资界面临的重要问题之一。这一模型的产生使得人们的投资观念发生了很大变化,在投资过程中,可以应用、aR对投资对象事前进行风险测量,可以提高风险防范的作用。我国证券市场起步较晚,发展至今不过十余年,市场还不够成熟。投机气氛浓厚,为了不断促进其发展完善,引进和借鉴投资组合理论十分必要。随着中国加入WTO,证券市场将逐步对外开放,证券投资组合中包含的金融产品将多样化,所面临的市场风险也将多样化,基于、"aR约束的投资组合模型在风险计量方面比原有的模型更具有综合性和实用性。本论文主要进行的是对VaR模型的实证分析。首先立足于与原有模型进行对比的基础上分析模型特性;然后根据具体情况进行实证分析,主要是从深市任意选取若干支股票应用于VaR模型,并利用几何方法,通过编程计算合适的投资分配比例。在计算过程中,论文根据不同的VaR值可以得到不同的投资比例,并按照所求得的结果进行实际模拟投资;最后,分析投资结果验证该模型在中国证券市场的适用性以及存在的问题。关键词VaR(Value-and- Risk);投资组合;证券;哈尔滨理工大学管理学硕士论文The demonstration of Portfolio Selectionunder VaR restrictionAbstractThe theory and the practice of modern Portfolio Selection are based on theclassic Harry Markowitz Portfolio Selection. Harry Markowitz put PortfolioSelection forward in 1952,which puts up secondary programming model and uses theavail function theory to select the bination by indifference curve. In mostinstitutions, which analyze by mathematics, the means used to decide and manageare based on the Portfolio Selection. In practice, the theory still has many limitations,so there are more to model under the VaR restriction is developed and. improved based onPortfolio Selection, which has been one of the important problems in internationalinvestment field as a new try. The model changes the investors' ideals in investing,which can predict and provide against risk before making decision. To some extent,VaR has promoted the role to take precautions against securities market's beginning is pretty late. The market is not mature andthe environment of speculation is playing a leading role from beginning to now .Topromote the development of secondary market, it is very necessary to introduce anddra