Development of New Methods for Financial Market Risk Management based on a SoftApproach

本研究运用近年来研究者们倡导的软方法，解决了以风险价值（ValueatRisk，简称VaR）度量市场风险的金融投资模型，为市场风险管理提供了一种新的思路。在此基础上，提出了两种动态管理投资组合的模型，并给出了求解方法。最后，通过对纽约证券交易所的真实的股票价格数据进行证券组合选择模拟和动态证券组合管理模拟，验证了本文提出的模型和方法的有效性。(1)投资组合选择：给出了一种基于软方法的市场风险度量为VaR的投资组合优化模型的求解方法。对多角度度量市场风险的投资组合问题进行了建模，并给出了求解方法。(2)投资组合再平衡：以资本利得税和交易佣金为再平衡成本，建立了投资组合再平衡优化模型。并给出了求解这些模型的软方法。(3)动态投资组合管理：我们提出了两个动态管理投资组合的模型。一个是多阶段投资组合优化模型，其中再平衡时间是固定的，而另一个是控制理论模型，其中再平衡时间是不固定的。给出了求解这些模型的软方法。

This research solved the models built for financial investment with market risk measured by the Value at Risk (VaR), by using the soft approach that the head investigator has been advocating in recent years, thus provided a new way for managing market risk. And two models were proposed for managing portfolio dynamically, and their resolution methods were also provided. Furthermore, we demonstrated the validity of the proposed models and methods by conducting portfolio selection simulation and dynamic portfolio management simulation with real stock price data from the New York Stock Exchange market.Concretely, the research investigated the following issues concerned with risk management in financial investment.(1) Portfolio Selection : We gave a method for solving the portfolio optimization models with market risk measured by VaR using the soft approach. We also modeled the portfolio selection problems where market risk is measured from multiple views, and gave the resolution methods.(2) Portfolio Rebalancing : We built optimization models for portfolio rebalancing problems by taking capital gain tax and transaction commission as rebalancing cost. And soft methods for solving these models were also given.(3) Dynamic Portfolio Management : We proposed two models for managing portfolios dynamically. One is a multistage portfolio optimization model where rebalancing times are fixed in advance, while the other is a control-theoretical model where rebalancing times are not fixed. Soft methods for solving these models were provided.