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。
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.
出处
《中国管理科学》
CSSCI
2004年第1期28-34,共7页
Chinese Journal of Management Science
基金
湖南大学自然科学基金重点项目资助(NSF-HNU200308)
关键词
投资组合
机会约束
VAR
最优解
portfolio
constraint of investment chance
VaR
optimal solution
