CAJ | 학술논문

针对债券投资组合中的风险度量难题，用CVaR作为风险度量方法，构建了基于 CVaR的债券投资组合优化模型。采用历史模拟算法处理模型中的随机收益率向量，将随机优化模型转化为确定性优化模型，并且证明了算法的收敛性。通过线性化技术处理CVaR中的非光滑函数，将该模型转化为一般的线性规划模型。结合10只债券的组合投资实例，验证了模型与算法的有效性。
침대채권투자조합중적풍험도량난제，용CVaR작위풍험도량방법，구건료기우 CVaR적채권투자조합우화모형。채용역사모의산법처리모형중적수궤수익솔향량，장수궤우화모형전화위학정성우화모형，병차증명료산법적수렴성。통과선성화기술처리CVaR중적비광활함수，장해모형전화위일반적선성규화모형。결합10지채권적조합투자실례，험증료모형여산법적유효성。
This paper considered the risk measurement for the bond portfolio problems.By using the CVaR measure method,we set up a new risk optimization model for the bond portfolio problem.The stochastic optimization model was con-verted into a deterministic optimization problem by using the historical simulation method.Furthermore,the convergence of the algorithm was also proved.Through the linear programming method dealing with the non-smooting function of CVaR,the model could transform into a common linear programming model.Examples of portfolio investment with ten bonds were given to verify the validity of the model and the method.