关键词: 资产配置, 风险价值, 随机规划, 情景生成

Abstract: In this paper,we develop multi-period asset allocation models based on VaR.Based on our country economic environment we simulate the models under the uncertainty about future asset returns,wage inflation and price inflation.We make a conclusion that the dynamic models are better than the static models by comparison of their optimum.Multi-period asset allocation models based on VaR have fewer expected losses and less risk than static models with the same of expected wealth.

Key words: asset allocation, value at risk, stochastic programming, scenario generation