| 基于n周期CVaR风险控制下log最优资产组合模型 |
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| 引用本文： | 魏代俊,覃森.基于n周期CVaR风险控制下log最优资产组合模型[J].湖北民族学院学报(哲学社会科学版),2009,27(1). |
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| 作者姓名： | 魏代俊 覃森 |
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| 作者单位： | 魏代俊,WEI Dai-jun(湖北民族学院数学系,湖北,恩施,445000);覃森,QIN Sen(杭州电子科技大学理学院,浙江,杭州,310018)
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| 基金项目： | 湖北省教育厅青年项目 |
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| 摘 要： | 基于条件风险价值(CVaR)风险理论,建立了n周期最优资产组合的风险控制模型.证明了n周期投资风险模型最优解的存在性与唯一性,为n周期投资策略优于连续单周期投资策略及其风险控制提供模型分析,并进行了实例计算与分析.
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| 关 键 词： | n周期 风险控制 风险价值 组合模型 |
Superior Property Combination Model in log on the Theory About CVaR in n Circles |
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| WEI Dai-jun,QIN Sen.Superior Property Combination Model in log on the Theory About CVaR in n Circles[J].Journal of Hubei Institute for Nationalities(Natural Sciences),2009,27(1). |
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| Authors: | WEI Dai-jun QIN Sen |
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| Institution: | 1.Department of Mathemetics;Hubei University for Nationalities;Enshi 445000;China;2.School of Science;Hangzhou Dianzi University;Hangzhou 310018;China |
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| Abstract: | According to CVaR risk theory,this article has established the risk control model of the superior property combination in n circles.It is proved that the superior solution in the risk model is existent and unique,and the research provides the model analysis that the n circles investment strategy is better than the continuous single circle investment strategy. |
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| Keywords: | n ciecles risk control CVaR combination model |
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