| 机会约束下不允许无风险借入的均值-VaR投资组合模型的再研究 |
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| 引用本文： | 金朝阳,孙西超.机会约束下不允许无风险借入的均值-VaR投资组合模型的再研究[J].淮北煤炭师范学院学报(自然科学版),2009,30(3):7-10. |
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| 作者姓名： | 金朝阳 孙西超 |
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| 作者单位： | 1. 东华大学理学院,上海,201620
2. 蚌埠学院理学系,安徽,蚌埠,233030 |
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| 摘 要： | 文章在投资组合回报率服从正态分布的前提下,建立了允许无风险借出但不允许无风险借入的具有投资机会约束的均值-VaR投资组合模型,讨论模型最优解的存在唯一性,并指出最优解的位置.
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| 关 键 词： | 无风险借入 机会约束 最优解 |
Research on the Mean-VaR Portfolio Model under Constraint of Investment Chance with Riskless Asset Can not be Borrowed |
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| JIN Zhao-yang,SUN Xie-hao.Research on the Mean-VaR Portfolio Model under Constraint of Investment Chance with Riskless Asset Can not be Borrowed[J].Journal of Huaibei Coal Industry Teachers College(Natural Science edition),2009,30(3):7-10. |
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| Authors: | JIN Zhao-yang SUN Xie-hao |
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| Institution: | JIN Zhao-yang1,SUN Xi-chao2 (1.College of Science,Donghua University,201620,Shanghai,China,2.Department of Science,Bengbu College,233030,Bengbu,Anhui,China) |
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| Abstract: | Under the assumption that the rates of return of portfolio are normal random variables,a mean-VaR portfolio model under constraint of investment chance with riskless asset can be lent but can't be borrowed is established.Existence and uniqueness of the model's optimal solution are discussed.Moreover,the place of the optimal solution is obtained. |
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| Keywords: | VaR |
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