| 含MCVaR的投资组合优化统一模型 |
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| 引用本文： | 银建华. 含MCVaR的投资组合优化统一模型[J]. 经济数学, 2011, 0(3): 41-43 |
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| 作者姓名： | 银建华 |
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| 作者单位： | 昌吉学院数学系 |
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| 摘 要： | 研究了Duarte提出的投资组合优化统一模型及条件风险价值(CVaR),分析了以CVaR为风险度量的投资组合优化模型的具体形式,建立了统一七种模型的投资组合优化统一模型,并发现统一模型是一个凸二次规划问题.
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| 关 键 词： | 投资组合模型 统一模型 条件风险价值(CVaR) |
The Portfolio Optimization Uniform Model Containing MCVaR |
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| YIN Jian -hua. The Portfolio Optimization Uniform Model Containing MCVaR[J]. Mathematics in Economics, 2011, 0(3): 41-43 |
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| Authors: | YIN Jian -hua |
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| Affiliation: | YIN Jian-hua(Department of Mathematics,Changji University,Xinjiang 831100,China) |
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| Abstract: | The Duarte proposed Unified portfolio optimization model and conditional value at risk （CVaR） were studied, and the concrete form of the portfolio optimization model taking CVaR for a risk measure was analyzed, the unified model of portfolio optimizationin cluding seven models was established,and it is found that the unified model is a convex quadratic programming problem. |
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| Keywords: | portfolio model uniform model CVaR |
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