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In order to study the effect of different risk measures on the efficient portfolios (frontier) while properly describing the characteristic of return distributions in the stock market, it is assumed in this paper that the joint return distribution of risky assets obeys the multivariate t-distribution. Under the mean-risk analysis framework, the interrelationship of efficient portfolios (frontier) based on risk measures such as variance, value at risk (VaR), and expected shortfall (ES) is analyzed and compared. It is proved that, when there is no riskless asset in the market, the efficient frontier under VaR or ES is a subset of the mean-variance (MV) efficient frontier, and the efficient portfolios under VaR or ES are also MV efficient; when there exists a riskless asset in the market, a portfolio is MV efficient if and only if it is a VaR or ES efficient portfolio. The obtained results generalize relevant conclusions about investment theory, and can better guide investors to make their investment decision. 相似文献
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When positronium is generated in super intense laser fields irradiated by an intense laser field, it breaks up into an electron and a positron. The momentum of the electron as well as that of the positron depends on the relative direction with respect to the laser propagation. Thus, the photoelectron angular distributions show inversion asymmetry. The inversion asymmetry becomes notable for higher kinetic energy of electrons. 相似文献
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探讨具有有限多个风险资产和一个无风险资产、有多个投资者参与的资本资产市场中非负均衡价格的存在性条件与确定问题,从以下角度改进了现有结果:采用期望损失(Expected shortfall,简称ES)作为风险度量,保证了均值-ES框架下所得结果与期望效用极大化原理结果的一致性;对证券收益的联合分布不做假设;考虑了比例交易费用对价格的影响,所得结果更贴近现实的金融市场;不仅给出了非负均衡价格存在唯一的充要条件,而且导出了其具体表达式;在对比分析其与现有结果异同的同时,还讨论了所给充要条件与定价公式的应用与经济解释. 相似文献
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This paper uses a nonperturbative scattering theory to
study photoelectron angular distributions of homonuclear diatomic
molecules irradiated by circularly polarized laser fields. This
study shows that the nonisotropic feature of photoelectron angular
distributions is not due to the polarization of the laser field but
the internuclear vector of the molecules. It suggests a method to
measure the molecular orientation and the internuclear distance of
molecules through the measurement of photoelectron angular
distributions. 相似文献
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