| 基于风险测度CaR_k的最优投资组合(英文) |
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| 引用本文： | 刘琦,刘国平,刘庆平.基于风险测度CaR_k的最优投资组合(英文)[J].数学理论与应用,2013(1):89-93. |
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| 作者姓名： | 刘琦 刘国平 刘庆平 |
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| 作者单位： | 中南大学数学与统计学院;阜阳技师学院 |
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| 基金项目： | Supported by “The Fundamental Research Funds for the Central Universities”(No.2010QYZD001) |
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| 摘 要： | 本文定义一种k阶在险资本值(CaRk)来度量风险,并研究在经典Black-Scholes市场中的均值-CaRk最优投资组合问题,给出了CaRk的显示表达式,并得到了均值-CaRk最优投资组合问题的最优策略及相应的最优财富值.
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| 关 键 词： | 最优投资组合 k阶在险资本值 |
Portfolio Optimization Under Risk Measure CaR_k |
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| Liu Qi,Liu Guoping,Liu Qingping.Portfolio Optimization Under Risk Measure CaR_k[J].Mathematical Theory and Applications,2013(1):89-93. |
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| Authors: | Liu Qi Liu Guoping Liu Qingping |
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| Institution: | 1(1.School of Mathematics and Statistics,Central South University,Changsha 410075,China)(2.Fuyang Technological and Normal college,Fuyang 236000,China) |
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| Abstract: | In this paper, we define a risk measure Capital - at - Risk of order k （CaRκ） to measure risks and then consider the mean -CaRκ portfolio optimization problem in a standard Black - Scholes type market. The explicit form of CaRκ is derived and the optimal portfolio investment strategy as well as the value of optimal expectation wealth are obtained. |
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| Keywords: | Portfolio Optimization Capital - at - Risk of Order k |
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