Asset allocation in a value-at-risk framework

• Main Author: 柯家媛
• Other Authors: 郭志安
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/86944460835392723751

碩士 === 國立彰化師範大學 === 商業教育學系 === 97 === To all investors, the asset allocation can reduce investigative risk. But they only know this concept not actual reference pattern. In this article, we combined VaR and asset allocation mutually, the concept of maximum possible loss that investors can suffered. We used linear algebra to find out each proportional investment weight then inferred the model. The inferential process can be divides into two stages. To decide what is the most optimal asset allocation strategy in first stage. In second stage, we took the risk value's concept into consideration then inferred the most optimal asset allocation. Finally, we can obtain each investment weight. We introduce maximum sufferable loss, over-quota reward, covariance of asset and VaR into this modal. This will be able to find out each investigative ratio explicitly. Achieve the function of overall risk control.