| 机会约束下的均值-VaR投资组合模型研究 |
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| 引用本文： | 郭福华,彭大衡,吴健雄. 机会约束下的均值-VaR投资组合模型研究[J]. 中国管理科学, 2004, 12(1): 28-34 |
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| 作者姓名： | 郭福华 彭大衡 吴健雄 |
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| 作者单位： | 1. 湖南大学数学与计量经济学院, 长沙, 410079;2. 上海交通大学数学系, 上海, 200030 |
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| 基金项目： | 湖南大学自然科学基金重点项目资助(NSF-HNU200308) |
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| 摘 要： | 本文在投资组合回报率服从正态分布的前提下,建立了具有投资机会约束的均值-VaR投资组合模型,讨论了模型最优解的存在唯一性,并得到了最优解的解析表达式;通过比较分析得出,具有投资机会约束的均值-方差投资组合模型只是本文讨论的模型的特款。
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| 关 键 词： | 投资组合 机会约束 VaR 最优解 |
| 文章编号： | 1003-207(2004)01-0028-07 |
| 收稿时间： | 2003-05-06; |
| 修稿时间： | 2003-05-06 |
Research on the Mean-VaR Portfolio Model under Constraint of Investment Chance |
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| GUO Fu-hua,PENG Da-heng,WU Jian-xiong. Research on the Mean-VaR Portfolio Model under Constraint of Investment Chance[J]. Chinese Journal of Management Science, 2004, 12(1): 28-34 |
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| Authors: | GUO Fu-hua PENG Da-heng WU Jian-xiong |
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| Affiliation: | 1. College of Mathematics and Econometrics, Hunan University, Changsha 410079, China;2. Department of Mathematics, Shanghai Jiao Tong University, Shanghai 200030, 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 is established.Existence and uniqueness of the model’s optimal solution are discussed.Moreover,the explicit representation of the optimal solution is obtained. It is observed by comparison that the mean-variance portfolio model under chanced constraint is the special case of the model discussed in this paper. |
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| Keywords: | portfolio constraint of investment chance VaR optimal solution |
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