| 奇导协方差矩阵和任意收益率分布下均值-CVaR模型的有效边界特征 |
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| 引用本文： | 姚海祥.奇导协方差矩阵和任意收益率分布下均值-CVaR模型的有效边界特征[J].中国管理科学,2008(Z1). |
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| 作者姓名： | 姚海祥 |
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| 作者单位： | 广东外语外贸大学信息科学技术学院;中山大学岭南学院; |
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| 基金项目： | 国家自然科学基金资助项目(70471018); 广东外语外贸大学校级科研团队项(GW2006-TB-002) |
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| 摘 要： | 本文利用现代主流风险度量技术CVaR代替方差或VaR,建立了均值-CVaR模型,在任意收益率分布下,利用无套利均衡分析的方法研究了奇异协方差矩阵情形的投资组合问题,得到了模型有效边界的本质特征,最后作为结论的直接应用和说明,我们给出了一个具体的算例分析。
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| 关 键 词： | 均值-CVaR模型 有效边界 奇异协方差矩阵 极大线性无关组 |
The Mean-CVaR Model under Singular Covariance Matrix and Any Asset Return Distribution |
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| YAO Hai-xiang.The Mean-CVaR Model under Singular Covariance Matrix and Any Asset Return Distribution[J].Chinese Journal of Management Science,2008(Z1). |
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| Authors: | YAO Hai-xiang |
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| Institution: | YAO Hai-xiang~(1,2) (1.School of Information Science , Technology,Guangdong University of Foreign Studies,Guangzhou 510006,China,2.Lingnan College,Sun Yat-sen University,Guangzhou 510275,China) |
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| Abstract: | This paper establishes the Mean-CVaR model by replacing variance or VaR with CVaR as a measure of risk.Under the arbitrage-free market hypothesis and any asset return distribution,we study the portfolio selection problem when the covariance matrix is singular,and obtain the characteristic of the efficient frontier of the mean-CVaR model.Finally,as an application and a demonstration of our results,we give a numerical example.. |
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| Keywords: | Mean-CVaR model efficient frontier singular covariance matrix maximal linearly Independent group |
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