| 基于CVaR方法的房地产组合投资最优化模型研究 |
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| 引用本文： | 荣喜民,孙维伟.基于CVaR方法的房地产组合投资最优化模型研究[J].经济数学,2007,24(2):172-179. |
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| 作者姓名： | 荣喜民 孙维伟 |
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| 作者单位： | 天津大学理学院,天津,300072 |
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| 基金项目： | 天津市自然科学基金资助项目(07JCYBJC05200)，南开大学-天津大学刘徽应用数学中心资助项目(2001T08) |
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| 摘 要： | 房地产开发项目投资是具有高风险高回报的典型的风险投资.在这个高风险的投资环境中要想达到预期目标,就必须对整个项目进行开发投资风险分析.本文运用CVaR对房地产项目投资存在的风险进行识别度量,通过建立基于CVaR下的房地产组合投资模型,达到项目风险防范的目的,提高投资回报的稳定性.
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| 关 键 词： | VaR CVaR 房地产项目组合投资 损益函数 |
| 修稿时间： | 2006年11月18 |
STUDY ON CVaR BASED OPTIMIZATION MODEL OF REAL ESTATE PORTFOLIO |
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| Rong Ximin,Sun Weiwei.STUDY ON CVaR BASED OPTIMIZATION MODEL OF REAL ESTATE PORTFOLIO[J].Mathematics in Economics,2007,24(2):172-179. |
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| Authors: | Rong Ximin Sun Weiwei |
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| Abstract: | The investment of real estate project is the typical risk investment with high risks and return.In this investing environment with high risks,in order to achieve the prospective goal,risk analysis of the investment is needed to the whole project.In the article,we introduce the definition and some important properties of CVaR,and the processing skills in the application of decision making problems.Using CVaR to distinguish and measure the risk in the investment of real estate project,we can realize the goal of project risk defense through the construction of VaR(CVaR) based optimization model of real estate portfolio,in hence improve the stability of the return of the investment. |
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| Keywords: | CVaR the portfolio of real estate project profit and loss function |
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