【FinE】PortfolioCVaR实现CVaR投资组合优化分析

PortfolioCVaR object workflow

建立PortfolioCVaR流程如下

1. 创建CVaR对象
2. 定义资产收益率(returns)和场景(scenarios)
3. 设置CVaR的约束
4. 验证CVaR投资组合
5. 估计投资组合的有效前沿
6. 结果处理

Creation

p = PortfolioCVaR % empty portfolio
p = PortfolioCVaR(Name, Value) % For example, p=PortfolioCVaR('AssetList', Assets(1:12))
p = PortfolioCVaR(p, Name, Value) % p is a previouslu constructed PortfolioCVaR object

PortfolioCVaR的属性如下表所示

Constraints

CVaR模型中的约束条件如下表所示

Portfolio Object Modeling

Demos

PortfolioCVaR Object build

设置资产的收益率和方差-协方差矩阵参数，使用Monte-Carlo模拟出n种scenarios. 模拟可以使用函数mvnrnd完成

R=mvnrnd(mu, sigma, n) returns a matrix R of n random vectors chosen from the same multivariate normal distribution, with mean vector mu and covariance matrix sigma

%% CVaR object using single step setup
m = [0.05; 0.1; 0.12; 0.18]; % 设置资产年收益率
C = [ 0.0064 0.00408 0.00192 0;  % 设置资产的方差-协方差矩阵
    0.00408 0.0289 0.0204 0.0119;
    0.00192 0.0204 0.0576 0.0336;
    0 0.0119 0.0336 0.1225 ];

m = m/12;
C = C/12;
N = 20000;
AssetScenarios=mvnrnd(m, C, N); % 模拟20000种scenarios
p = PortfolioCVaR('Scenarios', AssetScenarios, 'LowerBound', 0, 'LowerBudget', 1, 'UpperBudget', 1, 'ProbabilityLevel', 0.95);

也可以分步骤建立

p = PortfolioCVaR;
p = setScenarios(p, AssetScenarios);
p = PortfolioCVaR(p, 'LowerBound', 0);
p = PortfolioCVaR(p, 'LowerBudget', 1, 'UpperBudget', 1);
p = setProbabilityLevel(p, 0.95);

绘制有效前沿(由于mean-CVaR在求解QP规划时用到了和mosek中的同名函数，但是函数接口不同，为了解决冲突，可以在设置路径中将mosek至于底端，提高quadprog系统函数的优先级)

%%
p = PortfolioCVaR;
p = setSolver(p, 'fmincon');
p = setScenarios(p, AssetScenarios);
p = PortfolioCVaR(p, 'LowerBound', 0);
p = PortfolioCVaR(p, 'LowerBudget', 1, 'UpperBudget', 1);
p = setProbabilityLevel(p, 0.95);

plotFrontier(p);

也可以使用属性名称的简写

m = [ 0.05; 0.1; 0.12; 0.18 ];
C = [ 0.0064 0.00408 0.00192 0;
0.00408 0.0289 0.0204 0.0119;
0.00192 0.0204 0.0576 0.0336;
0 0.0119 0.0336 0.1225 ];

m = m/12;
C = C/12;
AssetScenarios = mvnrnd(m, C, 20000);
p = PortfolioCVaR('scenario', AssetScenarios, 'lb', 0, 'budget', 1, 'plevel', 0.95)

或者显式使用属性设置

AssetScenarios = mvnrnd(m, C, 20000);
p = PortfolioCVaR;
p = setScenarios(p, AssetScenarios);
p.ProbabilityLevel = 0.95;
p.LowerBudget = 1;
p.UpperBudget = 1;
p.LowerBound = zeros(size(m));

Case

读入12只股票的历史数据集，使用函数simulateNormalScenariosByData模拟场景

%% case
load CAPMuniverse.mat
N = 20000;
p = PortfolioCVaR('AssetList', Assets(1: 12)); % 读入股票数据
% 根据历史数据产生场景
p = simulateNormalScenariosByData(p, Data(:, 1:12), N, 'MissingData', true);
p = setDefaultConstraints(p);
p = setProbabilityLevel(p, 0.95);
plotFrontier(p); 

从有效前沿上得到组合权重

% display
pwgt = estimateFrontier(p, 5); % 得到5种权重
pnames = cell(1,5);
for i = 1:5
	pnames{i} = sprintf('Port%d',i);
end
Blotter = dataset([{pwgt},pnames],'obsnames',p.AssetList);
disp(Blotter);

CVaR optimization

CVaR优化问题有以下四种要素：

• A universe of assets with scenarios of asset total returns for a period of interest, where scenarios comprise a collection of samples from the underlying probability distribution for asset total returns. This collection must be sufficiently large for asymptotic convergence of sample statistics. Asset return moments and related statistics are derived exclusively from the scenarios(场景需要包括资产收益率的概率分布情况)

• A portfolio set that specifies the set of portfolio choices in terms of a collection of constraints.

• A model for portfolio return and risk proxies, which, for CVaR optimization, is either the gross or net mean of portfolio returns and the conditional value-at-risk of portfolio returns.

• A probability level that specifies the probability that a loss is less than or equal to the value-at-risk. Typical values are 0.9 and 0.95, which indicate 10% and 5% loss probabilities.

% valid portfolio optimization problem
[lb, ub, isbounded]=estimateBounds(p);
pwgt = estimateFrontier(p);

属性简写对照表如下

References

PortfolioCVaR