Optimization Problem of Insurance Investment Based on Spectral Risk Measure and RAROC Criterion

Table 2

Optimal investment strategy under confidence level.

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
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

Remark: the negative value means short-selling.