基于效用函数的投资组合

本文旨在解决当证券市场不允许卖空时，“均值-CVaR”模型的求解问题。若风险资产收益率服从正态分布，则在效用最大化原则下的“均值-方差”模型的两种解法是一致的。并且可以证明“均值-CVaR”模型的有效前沿是“均值 方差”模型有效前沿的一部分。从而用“均值-方差”模型的有效前沿表示出“均值-CVaR”模型的有效前沿，使其直接可以用计算机来求解。并且因为效用函数的引入，因此可以求得满足不同风险偏好投资者的资产配置。

Portfolios based on exponential utility function

An exponential utility function has been devised by making use of the Mean-CVaR model and its efficient frontier.Subsequently,using the principle of maximizing utility,the Mean-CVaR model was converted to a model that can be directly solved by computer in an equity market where shorting sale is prohibited.By applying this exponential utility function,portfolios to suit a variety of different investors can be obtained.