| Mean-CVaR模型下的资产组合和破产风险控制 |
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| 引用本文： | 潘霁,金洪飞.Mean-CVaR模型下的资产组合和破产风险控制[J].运筹与管理,2006,15(2):94-98. |
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| 作者姓名： | 潘霁 金洪飞 |
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| 作者单位： | 清华大学,经济管理学院,北京,100084;上海财经大学,金融学院,上海,200433 |
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| 摘 要： | 为了克服尾部风险测度CVaR模型本身的不足，并且给“如何实现资产组合的破产风险与期望利润的最优配置”问题提供一个更加符合现实的答案，本文在CVaR模型基础上，通过把风险资本的来源内生于资本禀赋以及把风险资本的机会成本引入利润函数的方式提出了线性Mean—CVaR模型。同时，本文通过对“上证50”成分股进行选择的实证分析给出了由线形Mean—CVaR模型得到的更加合理的资产组合与资本储备。
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| 关 键 词： | 运筹学 风险管理 资产组合 |
| 文章编号： | 1007-3221(2006)02-0094-05 |
| 收稿时间： | 09 14 2005 12:00AM |
| 修稿时间： | 2005年9月14日 |
Assets and Tail Risk Allocation by Mean-CVaR Model |
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| PAN Ji,JIN Hong-fei.Assets and Tail Risk Allocation by Mean-CVaR Model[J].Operations Research and Management Science,2006,15(2):94-98. |
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| Authors: | PAN Ji JIN Hong-fei |
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| Institution: | 1.School of Management and Economics, Tsinghua University, Beijing 100084, China; 2.Finance School, Shanghai University of Finance and Economics, Shanghai 200433, China |
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| Abstract: | To overcome the shortages of CVaR, this paper gives a new Mean-CVaR model to make the risk capital endogenous from initial capital endowment and to control the expected profit and bankrupt risk simultaneously by inducing the opportunity cost of risk capital CVaR. It also gives an empirical analysis of how to select stock with respect to Shanghai Stock 50 index to explain how assets and tail risk can be allocated by Linear Mean-CVaR model and the differences between CVaR model and Mean-CVaR model. |
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| Keywords: | Mean-CVaR |
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