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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作者单位
银建华 (昌吉学院 数学系,新疆 昌吉 831100) 
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)
 
The Portfolio Optimization Uniform Model Containing MCVaR
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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