| VaR风险度量下的安全第一标准 |
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| 引用本文： | 刘小茂,罗樱,李楚霖. VaR风险度量下的安全第一标准[J]. 管理工程学报, 2006, 20(1): 99-102 |
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| 作者姓名： | 刘小茂 罗樱 李楚霖 |
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| 作者单位： | 华中科技大学数学系,湖北,武汉,430074;华中科技大学数学系,湖北,武汉,430074;华中科技大学数学系,湖北,武汉,430074 |
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| 摘 要： | 本文给出了在绩效--VaR风险有效前沿上,满足安全第一标准的最优证券组合的求解方法和相关结果.这些结果可以使金融机构和投资者在满足其给定安全标准的前提下选取到最优的证券组合.
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| 关 键 词： | 证券组合 有效前沿 风险价值 安全第一标准 |
| 文章编号： | 1004-6062(2006)01-0099-04 |
| 修稿时间： | 2004-01-16 |
Safety-First Criteria under the Risk Measure of Value-at-Risk |
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| LIU Xiao-mao,LUO Ying,LI Chu-lin. Safety-First Criteria under the Risk Measure of Value-at-Risk[J]. Journal of Industrial Engineering and Engineering Management, 2006, 20(1): 99-102 |
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| Authors: | LIU Xiao-mao LUO Ying LI Chu-lin |
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| Abstract: | In this paper,we will give the method to determine the optimal portfolio and relevant results satisfying the given safety criteria under the popular measure of riskValue-at-Risk according to the three forms of safety-first criteria.These results can provide theoretical basis for financial organization and investors to make correct decisions,and to select optimal portfolio satisfying the safe criteria desired. |
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| Keywords: | portfolio Value-at-Risk(VaR) efficient frontier safety-first criteria |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
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