基于两时段的WCVaR风险分析及其应用

何冬梅; 童小娇; 唐民

基于两时段的WCVaR风险分析及其应用

引用本文：何冬梅,童小娇,唐民.基于两时段的WCVaR风险分析及其应用[J].经济数学,2011,(4):24-29

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作者	单位
何冬梅,童小娇,唐民	(1.长沙理工大学数学与计算科学学院，湖南长沙410114；2.长沙理工大学电气与信息工程学院，湖南长沙410114)

中文摘要:针对随机变量的分布信息不完全的情况下，提出了两时段的Worst-Case Conditional Value-at-Risk（WCVaR）指标，并建立了两时段的风险-利润投资组合优化模型，该模型是一高维问题，具有复杂的优化结构.在损失函数为线性以及随机变量为离散界约束分布的假设下，运用最优化对偶理论将具有多层min-max结构的高维复杂模型转化为简单的低维线性规划问题.此研究是单时段WCVaR方法的发展，可有效用在随机变量的分布为非完全分布信息下的风险-利润问题.电力市场是一个典型的风险市场，将提出的两时段WCVaR模型应用于电力市场的电力资产分配问题，数值试验测试了该模型和方法的有效性.

中文关键词:条件风险两时段投资组合优化

WCVaR Risk Analysis in Two-Time Periods and Calculation

Abstract:According to the known part information of random variable ,this paper presented a concept of worst-case conditional value-at-risk(WCVaR) in two-time periods, and set up a profit-risk robust portfolio model . This model is a high-dimension problem and has multi-layer min-max type. For the case of linear loss function and box discrete distribution of random variable,the new model can be further reformulated equivalently to simple linear programming problem by using optimal duality theory. This study is the development of one-stage, whicn can be used for risk-profit problems with the uncertain distribution of random variables. Becanuse electric power market is a typical risk market, WCVaR in two-time periods was used for solving power asset allocation in power markets，and the numerical results show the validity of the proposed method.

keywords:conditional value-at-risk(CVaR) two-time periods portfolio optimization

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