Risk Asset Portfolio Choice Models Under Three Risk Measures

被引：0
|
作者：
Wang, Yuling [1 ,2 ]
Ma, Junhai [1 ]
Xu, Yuhua [3 ]
机构：
[1] Tianjin Univ, Sch Management, Tianjin 300072, Peoples R China
[2] Tianjin Univ Commerce, Sch Sci, Tianjin 300134, Peoples R China
[3] Yunyang Teachers Coll, Dept Math, Yunyang 442000, Hubei, Peoples R China
来源：
ADVANCED RESEARCH ON INDUSTRY, INFORMATION SYSTEMS AND MATERIAL ENGINEERING, PTS 1-7 | 2011年 / 204-210卷
关键词：
VaR; CVaR; Risk Management; Portfolio Choice;
D O I：
10.4028/www.scientific.net/AMR.204-210.537
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
Mean-variance model, value at risk and Conditional Value at Risk are three chief methods to measure financial risk recently. The demonstrative research shows that three optional questions are equivalence when the security rates have a multivariate normal distribution and the given confidence level is more than a special value. Applications to real data provide empirical support to this methodology. This result has provided new methods for us about further research of risk portfolios.
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页码：537 / +
页数：2
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