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\u4f5c\u8005\uff1a\u8001\u4f59\u635e\u9c7c<\/a><\/p>\n\n\n\n

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\"\"<\/figure>\n\n\n\n
\n
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\u5747\u503c\u65b9\u5dee\u3001\u98ce\u9669\u5e73\u4ef7\u3001Black-Litterman\u3001\u5c42\u6b21\u805a\u7c7b\u2026\u2026\u8fd9\u4e9b\u6982\u5ff5\u542c\u8d77\u6765\u90fd\u4e0d\u964c\u751f\uff0c\u4f46\u4e00\u65e6\u771f\u7684\u8981\u81ea\u5df1\u628a\u98ce\u9669\u6a21\u578b\u5199\u51fa\u6765\uff0c\u518d\u628a\u5404\u79cd\u7ea6\u675f\u6761\u4ef6\u4e00\u4e2a\u4e2a\u585e\u8fdb\u4ee3\u7801\u91cc\uff0c\u90a3\u4e2a\u95e8\u69db\u4e00\u4e0b\u5b50\u5c31\u4e0a\u6765\u4e86\u3002\u5c24\u5176\u662f\u5f53\u8d44\u4ea7\u6570\u91cf\u4e00\u591a\uff0c\u95ee\u9898\u5c31\u4e0d\u518d\u662f”\u4f1a\u4e0d\u4f1a”\uff0c\u800c\u662f”\u503c\u4e0d\u503c\u5f97\u4e3a\u4e86\u9a8c\u8bc1\u4e00\u4e2a\u60f3\u6cd5\uff0c\u5148\u82b1\u534a\u4e2a\u6708\u5543\u516c\u5f0f”\u3002<\/p>\n\n\n\n
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\n
\u73b0\u5b9e\u56f0\u5883\uff1a<\/strong>\u5f88\u591a\u4eba\u5728\u7b2c\u4e00\u4e2a\u73af\u8282\u5c31\u88ab\u5361\u4f4f\u4e86\uff1a\u6709\u5f88\u597d\u7684\u6295\u8d44\u60f3\u6cd5\uff0c\u5374\u56e0\u4e3a\u65e0\u6cd5\u628a\u60f3\u6cd5\u8f6c\u5316\u4e3a\u53ef\u6d4b\u8bd5\u7684\u6a21\u578b\u800c\u6b62\u6b65\u4e0d\u524d\u3002<\/p>\n<\/blockquote>\n\n\n\n
\u6211\u6700\u8fd1\u5728GitHub\u4e0a\u53d1\u73b0\u4e86\u4e00\u4e2a\u975e\u5e38\u5b9e\u7528\u7684\u9879\u76ee\uff0c\u53eb\u505aRiskfolio-Lib<\/strong>\u3002\u5b83\u672c\u8d28\u4e0a\u662f\u4e00\u4e2a\u4e13\u95e8\u7528\u4e8e\u6295\u8d44\u7ec4\u5408\u4f18\u5316\u7684Python\u5e93\uff0c\u5e95\u5c42\u5efa\u7acb\u5728CVXPY\u4e4b\u4e0a\uff0c\u76ee\u6807\u4e5f\u975e\u5e38\u76f4\u63a5\uff1a\u628a\u539f\u672c\u6570\u5b66\u5473\u5f88\u91cd\u7684\u7ec4\u5408\u4f18\u5316\u6d41\u7a0b\uff0c\u5c3d\u91cf\u53d8\u6210\u7814\u7a76\u8005\u548c\u5b9e\u52a1\u7528\u6237\u90fd\u80fd\u5feb\u901f\u4e0a\u624b\u7684\u4ee3\u7801\u5de5\u4f5c\u6d41\u3002<\/p>\n\n\n\n
\u4e8c\u3001Riskfolio-Lib\u662f\u4ec0\u4e48<\/strong><\/h2>\n\n\n\n
Riskfolio-Lib\u662f\u4e00\u4e2a\u7528\u4e8e\u5b9a\u91cf\u6218\u7565\u8d44\u4ea7\u914d\u7f6e\u548c\u6295\u8d44\u7ec4\u5408\u4f18\u5316\u7684Python\u5e93\uff0c\u7531\u79d8\u9c81\u5f00\u53d1\u8005\u521b\u5efa\u548c\u7ef4\u62a4\u3002\u8be5\u9879\u76ee\u65e8\u5728\u5e2e\u52a9\u4e1a\u5185\u4eba\u58eb\u3001\u5b66\u8005\u548c\u5b66\u751f\u4ee5\u6700\u5c11\u7684\u7cbe\u529b\u5efa\u7acb\u57fa\u4e8e\u590d\u6742\u6570\u5b66\u6a21\u578b\u7684\u6295\u8d44\u7ec4\u5408\u3002<\/p>\n\n\n\n
\"\"<\/figure>\n\n\n\n
\u8fd9\u4e2a\u5e93\u7684\u6838\u5fc3\u7279\u70b9\u5305\u62ec\uff1a<\/p>\n\n\n\n
    \n
  • \u57fa\u4e8eCVXPY\u6784\u5efa<\/strong>\uff1a\u5229\u7528\u51f8\u4f18\u5316\u7684\u5f3a\u5927\u80fd\u529b\uff0c\u4fdd\u8bc1\u6c42\u89e3\u7684\u7a33\u5b9a\u6027\u548c\u6548\u7387\u3002<\/li>\n\n\n\n
  • \u4e0ePandas\u6df1\u5ea6\u96c6\u6210<\/strong>\uff1a\u53ef\u4ee5\u76f4\u63a5\u4f7f\u7528Pandas\u6570\u636e\u7ed3\u6784\uff0c\u6570\u636e\u5904\u7406\u975e\u5e38\u65b9\u4fbf\u3002<\/li>\n\n\n\n
  • \u652f\u6301\u591a\u79cd\u4f18\u5316\u6a21\u578b<\/strong>\uff1a\u4ece\u7ecf\u5178\u7684\u5747\u503c\u65b9\u5dee\u5230\u524d\u6cbf\u7684\u5c42\u6b21\u805a\u7c7b\u65b9\u6cd5\u3002<\/li>\n\n\n\n
  • \u4e30\u5bcc\u7684\u53ef\u89c6\u5316\u529f\u80fd<\/strong>\uff1a\u4e00\u952e\u751f\u6210\u4e13\u4e1a\u7ea7\u56fe\u8868\u3002<\/li>\n<\/ul>\n\n\n\n
    \u4e09\u3001\u6838\u5fc3\u529f\u80fd\u4e00\u89c8<\/strong><\/h2>\n\n\n\n

    1. \u4e8c\u5341\u56db\u79cd\u98ce\u9669\u5ea6\u91cf\u652f\u6301<\/strong><\/h3>\n\n\n\n
    \u8fd9\u4e2a\u5e93\u6700\u8ba9\u6211\u89c9\u5f97”\u7701\u4e8b”\u7684\u5730\u65b9\uff0c\u4e0d\u662f\u5b83\u652f\u6301\u7684\u6a21\u578b\u540d\u8bcd\u591a\uff0c\u800c\u662f\u5b83\u628a\u5f88\u591a\u539f\u672c\u5f88\u9ebb\u70e6\u7684\u90e8\u5206\u90fd\u5c01\u88c5\u597d\u4e86\u3002\u6bd4\u5982\u98ce\u9669\u5ea6\u91cf\uff0c\u5b98\u65b9\u8d44\u6599\u91cc\u63d0\u5230\u5b83\u652f\u630124\u79cd\u51f8\u98ce\u9669\u5ea6\u91cf<\/strong>\uff0c\u6587\u6863\u793a\u4f8b\u8fd8\u4e13\u95e8\u5217\u4e86\u5927\u91cf\u5728\u5b9e\u9645\u914d\u7f6e\u4e2d\u5f88\u5e38\u89c1\u3001\u4f46\u624b\u6413\u8d77\u6765\u5e76\u4e0d\u8f7b\u677e\u7684\u4e1c\u897f\uff1a<\/p>\n\n\n\n
    \u7c7b\u522b<\/th>\u5305\u542b\u7684\u98ce\u9669\u5ea6\u91cf<\/th><\/tr>
    \u4f20\u7edf\u5ea6\u91cf<\/td>\u65b9\u5dee\u3001\u6807\u51c6\u5dee\u3001\u534a\u65b9\u5dee\u3001\u4e0b\u884c\u6807\u51c6\u5dee<\/td><\/tr>
    \u98ce\u9669\u4ef7\u503c\u7c7b<\/td>VaR\u3001CVaR\u3001EVaR\u3001TGarch<\/td><\/tr>
    \u56de\u64a4\u98ce\u9669\u7c7b<\/td>CDaR\u3001EDaR\u3001\u6700\u5927\u56de\u64a4\u3001\u5e73\u5747\u56de\u64a4<\/td><\/tr>
    \u9ad8\u7ea7\u5ea6\u91cf<\/td>Tail Gini\u3001Lower Tail Gini\u3001Maximum Drawdown<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n
    \u4f7f\u7528\u5efa\u8bae\uff1a<\/strong>\u4f60\u4e0d\u9700\u8981\u6bcf\u6b21\u90fd\u4ece\u96f6\u63a8\u5bfc\u8fd9\u4e9b\u516c\u5f0f\uff0c\u76f4\u63a5\u628a\u6536\u76ca\u6570\u636e\u5582\u8fdb\u53bb\uff0c\u5c31\u80fd\u5f00\u59cb\u505a\u6743\u91cd\u4f18\u5316\u548c\u7ea6\u675f\u6d4b\u8bd5\u3002<\/p>\n\n\n\n
    2. \u591a\u79cd\u4f18\u5316\u6a21\u578b\u8986\u76d6<\/strong><\/h3>\n\n\n\n
    Riskfolio-Lib\u652f\u6301\u591a\u79cd\u4e3b\u6d41\u7684\u6295\u8d44\u7ec4\u5408\u4f18\u5316\u6a21\u578b\uff0c\u5b98\u65b9\u6587\u6863\u91cc\u7ed9\u51fa\u7684\u529f\u80fd\u975e\u5e38\u5168\u9762\uff1a<\/p>\n\n\n\n
    \u6a21\u578b\u7c7b\u578b<\/th>\u9002\u7528\u573a\u666f<\/th><\/tr>
    \u5747\u503c-\u65b9\u5dee\u6a21\u578b<\/td>\u7ecf\u5178\u7684Markowitz\u6846\u67b6\uff0c\u9002\u5408\u98ce\u9669\u538c\u6076\u578b\u6295\u8d44\u8005<\/td><\/tr>
    \u98ce\u9669\u5e73\u4ef7\u6a21\u578b<\/td>\u5404\u7c7b\u8d44\u4ea7\u5bf9\u7ec4\u5408\u98ce\u9669\u8d21\u732e\u76f8\u7b49<\/td><\/tr>
    Black-Litterman\u6a21\u578b<\/td>\u878d\u5408\u4e3b\u89c2\u89c2\u70b9\u4e0e\u5e02\u573a\u5747\u8861\u9884\u671f<\/td><\/tr>
    \u5c42\u6b21\u805a\u7c7b\u6a21\u578b<\/td>\u57fa\u4e8e\u8d44\u4ea7\u76f8\u5173\u7ed3\u6784\u7684\u7a33\u5065\u914d\u7f6e<\/td><\/tr>
    Worst-Case\u6a21\u578b<\/td>\u6781\u7aef\u60c5\u666f\u4e0b\u7684\u7a33\u5065\u4f18\u5316<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n
    3. \u7075\u6d3b\u7684\u7ea6\u675f\u6761\u4ef6<\/strong><\/h3>\n\n\n\n
    \u53e6\u4e00\u4e2a\u5f88\u5b9e\u9645\u7684\u70b9\uff0c\u662f\u5b83\u4e0d\u53ea\u9002\u5408”\u8bba\u6587\u590d\u73b0\u578b”\u7814\u7a76\u3002\u4f60\u80fd\u7ed9\u7ec4\u5408\u6dfb\u52a0\u5404\u79cd\u771f\u5b9e\u5e02\u573a\u4e2d\u7684\u7ea6\u675f\uff1a<\/p>\n\n\n\n