| 均值—条件风险价值模型有效前沿分析——以含无风险资产和持有期为研究视角 |
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| 引用本文： | 周圣.均值—条件风险价值模型有效前沿分析——以含无风险资产和持有期为研究视角[J].西南交通大学学报(社会科学版),2012,13(3):122-126. |
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| 作者姓名： | 周圣 |
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| 作者单位： | 西南交通大学经济管理学院,四川成都,610031 |
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| 基金项目： | 教育部人文社会科学基金(12YJA790110);中央高校基本科研业务费专题项目(A0920502051113-67) |
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| 摘 要： | 从有效投资组合的角度构建持有期下含有无风险资产的均值—条件风险价值模型,用Lagrange乘子法对该模型求解,可得到:一定条件下,新模型的有效前沿与均值—方差模型有效前沿是一致的;且当借贷利率不同时,新模型的有效前沿可以根据组合预期收益率与借贷利率的不同关系,由线段、双曲线以及射线三个部分组合而成。
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| 关 键 词： | 投资组合 条件风险价值 无风险资产 有效前沿 均值—方差模型 均值—条件风险价值模型 |
Efficient Frontier Analysis of Mean-CVaR Based on Risk-free Asset and Holding Period Condition |
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| ZHOU Sheng.Efficient Frontier Analysis of Mean-CVaR Based on Risk-free Asset and Holding Period Condition[J].Journal of Southwest Jiaotong Universit(Social Science Edition),2012,13(3):122-126. |
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| Authors: | ZHOU Sheng |
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| Institution: | ZHOU Sheng(School of Economics and Management,Southwest Jiaotong University,Chengdu 610031,China) |
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| Abstract: | A risk-free asset is included in the portfolio,and the mean-CVaR model is established under holding period condition.The model is solved through Lagrange multiplier method,and the results show that efficient frontiers of mean-CVaR and mean-variance model coincide based on some given conditions.Furthermore,according to the relationship between the expected rate of return and borrowing-lending rates,the efficient frontier of mean-CVaR model consists of line segment,hyperbola segment and half line with different borrowing-lending rates. |
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| Keywords: | portfolio conditional value at risk risk-free asset efficient frontier mean-variance model mean-CVaR model |
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