| 有风险控制的最优投资组合(英) |
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| 引用本文： | 叶中行,李骏. 有风险控制的最优投资组合(英)[J]. 应用概率统计, 1999, 0(2) |
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| 作者姓名： | 叶中行 李骏 |
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| 作者单位： | 上海交通大学应用数学系!上海，200030，中国国泰证券公司!上海，200042 |
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| 基金项目： | Chinese National Science Foundation!79790,130 |
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| 摘 要： | 本文讨论有风险控制的最优投资组合问题并研究了倍率风险函数及临界风险的性质，最大最小风险的估计；给出了其倍率风险函数有严格解析形式的例子．
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| 关 键 词： | 最优投资组合 风险 倍率风险函数 临界风险 |
Optimal Portfolio With Risk Control |
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| YE ZHONGXING. Optimal Portfolio With Risk Control[J]. Chinese Journal of Applied Probability and Statisties, 1999, 0(2) |
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| Authors: | YE ZHONGXING |
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| Abstract: | In this paper, we introduce a model of log-optimal portfolio selection with risk constraint. We study the properties of doubling rate-risk function and critical risk and estimate the the maximal and minimal risks. Examples for which the precisely analytic form of doubling rate-risk function is available are provided. |
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| Keywords: | optimal portfolio risk doubling rate-risk function critical risk |
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