基于机会约束的均值—VaR投资组合模型再研究

基于机会约束的均值—VaR投资组合模型再研究

安起光，王厚杰

山东财政学院金融学院，山东济南250014

收稿日期:2005-09-14 修回日期:2005-11-15 出版日期:2006-10-24 发布日期:2006-10-24
通讯作者: 安起光

The deepstudy of a meanVaR model under constraints of investment chance

AN Qi-guang and WANG Hou-jie

Shandong Finance Institute, Shandong University, Jinan 250014, Shandong, China

Received:2005-09-14 Revised:2005-11-15 Online:2006-10-24 Published:2006-10-24
Contact: AN Qi-guang

摘要/Abstract

摘要： 在证券收益率服从正态分布的前提下，建立了允许无风险借贷并且借贷利率不同的机会约束下均值—VaR模型，讨论了最优解的存在性和惟一性.然后在均值—VaR模型有效边界的基础上引入机会约束，得到了该模型的有效边界及其最优解.

关键词: 不同借贷利率, 投资组合, VaR , 机会约束

Abstract: Under the assumption that the rates of return of portfolio are normal random variables, a meanVaR portfolio model including riskfree debit and credit with different riskfree rates under constraint of investment chance is established. Existence and uniqueness of the model's optimal solution are discussed. On the basis of meanVaR model's effective border, the constraint of investment chance is introduced, and the model's effective border and the optimal solutioin are obtained.

Key words: VaR , constraint of investment chance, portfolio, different riskfree rates

中图分类号:

F830.59

安起光,王厚杰 . 基于机会约束的均值—VaR投资组合模型再研究[J]. J4, 2006, 41(2): 94-100 .

AN Qi-guang and WANG Hou-jie . The deepstudy of a meanVaR model under constraints of investment chance[J]. J4, 2006, 41(2): 94-100 .

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