Research Article
Optimization Problem of Insurance Investment Based on Spectral Risk Measure and RAROC Criterion
Table 2
Optimal investment strategy under confidence level.
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| Risk measure | Factor of risk aversion | Risk-free asset | JoinTo Energy (000600) | Chang’an Vehicle (000625) | Yili (600887) |
| VaR | — | 0.7136 | 0.2538 | -0.0903 | 0.1229 |
| CVaR | — | 0.8062 | 0.1812 | -0.0674 | 0.0799 |
| Exponential SRM | | 0.8150 | 0.1743 | -0.0652 | 0.0758 | | 0.8261 | 0.1657 | -0.0625 | 0.0707 | | 0.8400 | 0.1548 | -0.0590 | 0.0642 |
| Power SRM | | 0.8177 | 0.1723 | -0.0646 | 0.0746 | | 0.8342 | 0.1594 | -0.0605 | 0.0669 | | 0.8400 | 0.1548 | -0.0590 | 0.0642 |
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| Risk measure | Factor of risk aversion | Risk-free asset | JoinTo Energy (000600) | Chang’an Vehicle (000625) | Yili (600887) |
| VaR | — | 0.6357 | 0.3148 | -0.1096 | 0.1591 |
| CVaR | — | 0.7350 | 0.2370 | -0.0850 | 0.1130 |
| Exponential SRM | | 0.7393 | 0.2336 | -0.0840 | 0.1110 | | 0.7437 | 0.2302 | -0.0829 | 0.1089 | | 0.8335 | 0.1599 | -0.0606 | 0.0673 |
| Power SRM | | 0.7405 | 0.2327 | -0.0837 | 0.1104 | | 0.7457 | 0.2286 | -0.0824 | 0.1080 | | 0.8335 | 0.1599 | -0.0606 | 0.0673 |
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Remark: the negative value means short-selling.
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