VaR风险度量下的安全第一标准  

Safety-First Criteria under the Risk Measure of Value-at-Risk

作　　者：刘小茂[1] 罗樱[1] 李楚霖[1] 

机构地区：[1]华中科技大学数学系,湖北武汉430074

出　　处：《管理工程学报》2006年第1期99-102,共4页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(70071012)

摘　　要：本文给出了在绩效———VaR风险有效前沿上,满足安全第一标准的最优证券组合的求解方法和相关结果。这些结果可以使金融机构和投资者在满足其给定安全标准的前提下选取到最优的证券组合。In this paper, we will give the method to determine the optimal portfolio and relevant results satisfying the given safety criteria under the popular measure of risk-Value-at-Risk according to the three forms of safety-first criteria. These results can provide theoretical basis for financial organization and investors to make correct decisions, and to select optimal portfolio satisfying the safe criteria desired.

关 键 词：证券组合 有效前沿 风险价值 安全第一标准 

分 类 号：F830.59[经济管理—金融学]