| 风险资产组合均值-CVaR模型的算法分析 |
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| 引用本文： | 李婷,张卫国.风险资产组合均值-CVaR模型的算法分析[J].安徽大学学报(自然科学版),2006,30(6):4-7. |
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| 作者姓名： | 李婷 张卫国 |
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| 作者单位： | 宁夏大学,数学计算机学院,宁夏,银川,750021;宁夏大学,数学计算机学院,宁夏,银川,750021 |
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| 基金项目： | 国家自然科学基金资助项目(70571024) |
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| 摘 要： | CVaR是指损失超过VaR的条件均值,反映了损失超过VaR时可能遭受的平均损失水平,它克服了VaR的非一致性、非凸性等不足.本文基于CVaR风险计量技术,分析了风险证券的投资收益率在服从正态分布下的风险资产组合均值-CVaR模型,给出了该风险资产组合有解的条件,以及在该条件满足下,最小均值-CVaR组合的投资比例解析形式和最小值.
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| 关 键 词： | 风险投资 CVaR 最小解 |
| 文章编号： | 1000-2162（2006）06-0004-04 |
| 收稿时间： | 2006-01-10 |
| 修稿时间： | 2006年1月10日 |
Minimum modeling of mean-CVaR arithmetic analysis |
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| LI Ting,ZHANG Wei-guo.Minimum modeling of mean-CVaR arithmetic analysis[J].Journal of Anhui University(Natural Sciences),2006,30(6):4-7. |
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| Authors: | LI Ting ZHANG Wei-guo |
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| Institution: | Department of Mathematics and Computer, Ningxia University, Yinchuan 750021 ,China |
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| Abstract: | Conditional Value-at-Risk(CVaR) is known as mean excess loss,it is the conditional(expectation) of losses above that amount VaR.As an alternative measure of risk,CVaR is known to have better properties than VaR,such as subadditivity and convexity.Based on the normal assumption for the distribution of financial returns,here analyze the minimum modeling of mean-CVaR, and evaluate when the model has efficient solution,and when this condition is satisfied,the formula of efficient frontier of portfolio and minimum value are presented. |
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| Keywords: | risk-investment CVaR minimum value |
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