| 条件风险价值度量方法在银行投资组合优化中的应用 |
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| 引用本文： | 赵静,肖庆宪.条件风险价值度量方法在银行投资组合优化中的应用[J].上海理工大学学报(社会科学版),2005,27(5):389-392. |
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| 作者姓名： | 赵静 肖庆宪 |
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| 作者单位： | 上海理工大学管理学院,上海200093 |
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| 基金项目： | 上海市哲学社会科学规划课题资助项目（2005BJB3020） |
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| 摘 要： | 将一种新的风险度量方法——CVaR方法引入银行投资组合优化问题中，由此建立了期望收益最大化的优化模型．并利用我国债券市场价格数据进行了实证分析．
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| 关 键 词： | 风险价值 条件风险价值 银行投资组合 |
Application of conditional value at risk measurement in bank's optimal portfolio |
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| ZHAO Jing,XIAO Qing-xian.Application of conditional value at risk measurement in bank's optimal portfolio[J].Journal of University of Shanghai For Science and Technilogy(Social Science),2005,27(5):389-392. |
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| Authors: | ZHAO Jing XIAO Qing-xian |
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| Institution: | College of Management, University of Shanghai far Science and Technology, Shanghai 20093, China |
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| Abstract: | A new risk measure approach is introduced into the problem of bank's optimal portfolio,and an optimal model of maximum expected profit is developed.Depmonstration analysis for our bond market is performed to prove the validity of the model. |
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| Keywords: | value at risk conditional value at risk bank's portfolio |
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