In this paper,we give an overview of representation theorems for various static risk measures:coherent or convex risk measures, risk measures with comonotonic subadditivity or convexity, law-invariant coherent or conv...In this paper,we give an overview of representation theorems for various static risk measures:coherent or convex risk measures, risk measures with comonotonic subadditivity or convexity, law-invariant coherent or convex risk measures, risk measures with comonotonic subadditivity or convexity and respecting stochastic orders.展开更多
Most of the previous researches about portfolio analysis focus on short-selling. In fact, no short-selling is also important because short-selling is not allowed in stock markets of some countries. This paper gives th...Most of the previous researches about portfolio analysis focus on short-selling. In fact, no short-selling is also important because short-selling is not allowed in stock markets of some countries. This paper gives the sufficient and necessary conditions and proposes an optimal algorithm for Markowitz’s mean-variance models and Sharpe’s ratio with no short-selling. The optimal algorithm makes it easier to obtain the efficient frontiers with no short-selling.展开更多
基金supported by National Natural Science Foundation of China (Grant No.10571167)National Basic Research Program of China (973 Program) (Grant No.2007CB814902)Science Fund for Creative Research Groups (Grant No.10721101)
文摘In this paper,we give an overview of representation theorems for various static risk measures:coherent or convex risk measures, risk measures with comonotonic subadditivity or convexity, law-invariant coherent or convex risk measures, risk measures with comonotonic subadditivity or convexity and respecting stochastic orders.
基金the National Natural Science Foundation of China (Grant Nos. 10501005, 10701021)Northeast Normal University (Grant No. NENU-STC07001)
文摘Most of the previous researches about portfolio analysis focus on short-selling. In fact, no short-selling is also important because short-selling is not allowed in stock markets of some countries. This paper gives the sufficient and necessary conditions and proposes an optimal algorithm for Markowitz’s mean-variance models and Sharpe’s ratio with no short-selling. The optimal algorithm makes it easier to obtain the efficient frontiers with no short-selling.
