具有VaR约束和无风险投资的证券组合选择方法  

An Optimal Portfolio Selection Model Under Constraints of Both VaR and Risk-free Investment

作　　者：李婷[1] 张卫国[2] 

机构地区：[1]宁夏大学数学计算机学院,银川750021 [2]华南理工大学经济与贸易学院,广州510641

出　　处：《工程数学学报》2005年第3期435-440,共6页Chinese Journal of Engineering Mathematics

摘　　要：本文提出了具有VaR约束和无风险投资的证券组合优化模型,在证券收益率服从正态分布的前提下,给出有效投资比例及有效边界的解析形式,它是传统的均值-方差模型及有效证券组合的推广。This paper establishes a portfolio Selection model under constraints of both VaR and risk-free investment, and under the assumption that the rates of securities' returns are normal random variables, the explicit formulas of investment proportions and the mean-variance efficient frontier of the optimal portfolio are presented.

关 键 词：无风险投资 VAR约束 有效证券组合 

分 类 号：O29[理学—应用数学] F830[理学—数学]