| 安全第一标准下基于VaR度量的投资组合优化问题 |
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| 引用本文： | 罗樱,于欣,刘康生. 安全第一标准下基于VaR度量的投资组合优化问题[J]. 浙江大学学报(理学版), 2006, 33(5): 503-506 |
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| 作者姓名： | 罗樱 于欣 刘康生 |
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| 作者单位： | 1. 浙江大学,数学系,浙江,杭州,310027
2. 浙江大学宁波理工学院,信息与计算科学系,浙江,宁波,315100 |
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| 摘 要： | 为了让证券投资者更好地按照自己的安全标准进行投资，根据PYLE H和TURNOVSKY S J提出的安全第一标准，给出在风险价值（VaR）度量下如何选取到最优证券组合的相关结果．其结论对投资者在选择证券投资组合时具有理论上的参考价值．
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| 关 键 词： | 投资组合 风险价值 安全第一准则 遗传算法 |
| 文章编号： | 1008-9497(2006)05-503-04 |
| 收稿时间： | 2005-03-07 |
| 修稿时间： | 2005-03-07 |
The problem of portfolio optimization based on safety-first criteria and the measure of VaR |
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| LUO Ying,YU Xin,LIU Kang-sheng. The problem of portfolio optimization based on safety-first criteria and the measure of VaR[J]. Journal of Zhejiang University(Sciences Edition), 2006, 33(5): 503-506 |
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| Authors: | LUO Ying YU Xin LIU Kang-sheng |
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| Affiliation: | 1. Department of Mathematics, Zhejiang; University, Hangzhou 310027, China; 2. Department of Information and Computing Science, Ningbo Institute of Technology, Zhejiang University, Ningbo 315100, China |
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| Abstract: | To deal with portfolio selection problem, the paper will get optimal portfolio models according to safetyfirst criteria under the measure of Value-at-Risk. The results will contribute some theoretical basis for security investors to make correct decisions when selecting the portfolio to meet the satisfaction of the desired safety criteria. |
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| Keywords: | portfolio Value-at-Risk(VaR) safety-first criteria genetic algorithm(GA) |
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