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论文类型：期刊论文

发表时间：2022-06-29

发表刊物：系统工程理论与实践

所属单位：经济管理学院

期号：2

页面范围：257-267

ISSN号：1000-6788

摘要：By using VaR as risk control of the loans portfolio, using skewness constrain to avoid the distribution of loan portfolio yield toward left of mean to reduce left side risk of general risk, using kurtosis constrain as the control of the distribution's fat tail on both sides to reduce the extreme loss, the optimal model of loan portfolio which targets the maximum rate of return on bank loans portfolio based on the higher central-moment constraints is set up. The contribution of this article is we identified the importance of using higher central-moments, especially the kurtosis in bank loans portfolio optimization. Addition to the classic Markowitz model, we build a mean-variance-skewness-kurtosis model which introduced kurtosis constrain to reduce the extreme loss, skewness constrain to avoid general risk and VaR as risk control of the loans portfolio. The model we built controls the portfolio's risk from multi-angle and extends the classic mean-variance optimal theory.

备注：新增回溯数据