| Mean-CVaR模型下的两基金分离定理 |
| |
| 引用本文： | 李杰,张红兵,费时龙,张群.Mean-CVaR模型下的两基金分离定理[J].宿州学院学报,2011,26(2):8-10. |
| |
| 作者姓名： | 李杰 张红兵 费时龙 张群 |
| |
| 作者单位： | 1. 宿州学院数学与统计学院,安徽宿州,234000
2. 深圳高级中学,广东深圳,518040 |
| |
| 基金项目： | 宿州学院校级自然科学研究项目，宿州学院硕士科研启动基金 |
| |
| 摘 要： | 简要介绍了CVaR风险度量方法,并基于CVaR风险度量方法研究了风险资产组合以及含有无风险资产的资产组合服从多元T分布情形下资产组合的Mean-CVaR模型,分别得到了此模型下两种资产组合的两基金分离定理。
|
| 关 键 词： | 资产组合 Mean-CVaR模型 多元T分布 两基金分离定理 |
Two-fund Separation Theorem under Mean-CVaR Model |
| |
| LI Jie,ZHANG Hong-bin,FEI Shi-long,ZHANG Qun.Two-fund Separation Theorem under Mean-CVaR Model[J].Journal of Shuzhou College,2011,26(2):8-10. |
| |
| Authors: | LI Jie ZHANG Hong-bin FEI Shi-long ZHANG Qun |
| |
| Institution: | LI Jie,ZHANG Hong-bin,FEI Shi-long,ZHANG Qun1.Department of Mathematics,College of SuZhou,SuZhou Anhui,234000,2.Shenzhen Senior High School,Shenzhen,Guangdong,518040,China |
| |
| Abstract: | Based on the CVaR technique,this paper studies the Mean-CVaR model about portfolio under the assumption of multivariate distribution,and two-fund separation theorem is derived. |
| |
| Keywords: | portfolio Mean-CVaR Model multivariate distribution Two-fund Separation Theorem |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
