摘要
对Black Scholes型市场中的投资问题建立了两个连续时间模型———"均值 在险资本"模型和"均值 在险效用"模型,求出了模型的显式解;综合比较这两个模型及"均值 方差"模型,得出:"均值 在险资本"模型更适合于长期投资组合分析,它与实际观察结果是一致的,即投资的计划期越长,投资者持有的风险资产比例会越大.
This paper establishes two models, mean-CaR model and mean-UaR model, of continuous time for portfolios in Black-Scholes market and give their explicit solutions. By comparing this two models and mean-variance model, it is concluded that mean-CaR model is fitter than the other two models for the analysis of long run portfolios, which is in accordance with practical observations, that is, the longer is the investment period, the larger is the proportion of the risk assets hold by investors.
出处
《湖南大学学报（自然科学版）》
EI
CAS
CSCD
北大核心
2004年第1期103-107,共5页
Journal of Hunan University:Natural Sciences
基金
湖南大学自然科学基金重点资助项目
关键词
在险资本
在险效用
投资组合
Capital-at-Risk(CaR)
Utility-at-Risk(UaR)
portfolio
