首页 | 本学科首页   官方微博 | 高级检索  
     检索      

不同均值-风险准则下的资产组合有效前沿比较研究
引用本文:刘志东.不同均值-风险准则下的资产组合有效前沿比较研究[J].经济数学,2006,23(1):26-35.
作者姓名:刘志东
作者单位:中央财经大学,北京,100081
摘    要:本文根据V aR和CV aR风险度量方法,对马克维茨的均值-方差资产组合选择模型进行拓展,研究在均值-风险准则下更具有一般性的资产组合选择问题.并在正态分布假设条件下,证明当不存在无风险资产时和存在无风险资产时,基于方差、V aR和CV aR风险度量准则的资产组合有有沿之间的关系,指出根据均值-V aR准则和均值-CV aR准则求解有效资产组合时,置信水平必须满足的条件

关 键 词:VaR  CVaR  资产组合  有效边界  置信水平  随机占优
修稿时间:2005年8月5日

A COMPARISON OF THE PORTFOLIO EFFICIENT FRONTIER UNDER VARIOUS MEAN-RISK CRITERIONS
Liu Zhi-dong.A COMPARISON OF THE PORTFOLIO EFFICIENT FRONTIER UNDER VARIOUS MEAN-RISK CRITERIONS[J].Mathematics in Economics,2006,23(1):26-35.
Authors:Liu Zhi-dong
Abstract:According to the risk measures such as VaR and CVaR,Markowitz's portfolio selection model,which is based on mean and variance,is expanded in this paper.Then a general portfolio selection problem is studied in the frame of mean and risk.Under the assumption of normal distribution,the relation of different portfolion efficient frontiers,which are based on variance,VaR and CVaR,is proved.At the same time the paper points out the condition that the confidence level must satisfy when solving the efficient portfolio by the criterions of mean-VaR and mean-CVaR.
Keywords:VaR and CVaR  portfolio  efficient frontier  confidence level  stochastic dominance  
本文献已被 CNKI 万方数据 等数据库收录!
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号