| 机会约束下不允许无风险借入的均值-VaR投资组合模型 |
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| 引用本文： | 孙西超,侯为波,赵玉梅.机会约束下不允许无风险借入的均值-VaR投资组合模型[J].大学数学,2009,25(1). |
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| 作者姓名： | 孙西超 侯为波 赵玉梅 |
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| 作者单位： | 1. 蚌埠学院,理学系,安徽,蚌埠,233030
2. 淮北煤炭师范学院,数学系,安徽,淮北,235000 |
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| 基金项目： | 蚌埠学院自然科学研究项目 |
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| 摘 要： | 在投资组合回报率服从正态分布的前提下,建立了允许无风险借出但不允许无风险借入的具有投资机会约束的均值-VaR投资组合模型,讨论了模型最优解的存在唯一性,并指出了最优解的位置.
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| 关 键 词： | 无风险借入 机会约束 VaR 最优解 |
Research on the Mean-VaR Portfolion Model under Constraint of Investment Chance with Riskless Asset Can't Be Borrowed |
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| SUN Xi-chao,HOU Wei-bo,HAO Yu-mei.Research on the Mean-VaR Portfolion Model under Constraint of Investment Chance with Riskless Asset Can't Be Borrowed[J].College Mathematics,2009,25(1). |
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| Authors: | SUN Xi-chao HOU Wei-bo HAO Yu-mei |
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| Institution: | 1.Department of Science;Bengbu College;Bengbu;Anhui 233030;China;2.Department of Mathematics;Huaibei Coal Industry Teachers College;Huaibei;Anhui 235000;China |
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| Abstract: | Under the assumption that the rates of return of portfolion are normal random variables,a mean-VaR portfolio model under constraint of investment chance with riskless asset can be lent but Can't be Borrowed is established.Existence and uniqueness of the model's optimal solution are discussed.Moreover,the place of the optimal solution is obtained. |
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| Keywords: | VaR |
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