| 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,(3):41-43 |
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| 中文摘要: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. |
| 中文关键词:投资组合模型 统一模型 条件风险价值（CVaR） |
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| The Portfolio Optimization Uniform Model Containing MCVaR |
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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. |
| keywords:portfolio model uniform model CVaR |
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