摘要
以CVaR的经典模型为基础、以正态分布为假设条件建立了均值-CVaR模型,对此模型的有效前沿进行了深入的研究,给出了其有效前沿的表述,总结并推导了其性质,最后通过一个实例进行论证。
The paper firstly introduces the CVaR, then establishes the mean-CVaR model on the basis of mean-variance model and under normal distribution condition. An in-depth research on efficient frontier of this model is made, and the formulation of the efficient frontier is given. The feature of the mean-CVaR is then summarized and deduced model. Finally the paper gave a example.
出处
《管理科学》
CSSCI
2004年第3期52-55,共4页
Journal of Management Science
基金
2003深圳大学创新基金资助项目
关键词
金融风险
CVAR
投资组合
有效前沿
Finance risks
Conditional Value-at-Risk
Investment portfolio
Efficient frontier
