| Summary: | 碩士 === 銘傳大學 === 金融研究所碩士在職專班 === 89 === According to Markowitz’s Mean-Variance investment portfolio theory, risk is measured by variance or standard deviation, which implies that investors concern about the positive return as much as the negative return. However, what investors really care about is the level of the downside risk, which is the so called possibility of loss. Value at Risk （VaR）is further developed method to measure risk. VaR is the measure of the price risk expoure of the portfolio under the worst scenario of the market. Compared with variance or standard deviation , VaR can measure downside risk of the portfolio position more intuitively and precisely.
However, the main idea of portfolio component VaR at Risk（CVaR）is that the assets of covariance and risk sterilization effect have to be considered to put into the total VaR of the portfolio in order to control VaR more accurately . The purpose of this study is to incorporate the optimal asset allcation model with CVaR restrition into the Markowitz’s （1952）Mean-Variance portfolio theory. Considering that the risk management is the investment manager’s first priority to think about, we develop the optimal asset allocation model with the CVaR limit hierarchy risk management restriction and conduct the empirical analysis based on four different periods of time（before the Asian financial crisis, during the Asian financial crisis, after the Asian financial crisis, and after year 2000 presidential election）to obtain the best weight of portfolio asset allocation.
Postal Remittance & Savings Banks （PRSB）holds some risky assets. Because the risk marginal constribution of the risky assets mainly comes from stocks and mutual funds, the primary concern for PRSB is to effectively control the risks between stocks and mutual funds. Thus, this study of theVaR limit Hierarchy model and the empirical analysis of different periods of time can provide PRSB some basis to build up a model in advance for managing PRSB’s portfolio risk.
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