均值-CVaR模型下的两基金分离定理  

Two-fund separation theorem under mean-CVaR model

作　　者：曹静[1] 秦超英[1] 覃森[1] 

机构地区：[1]西北工业大学应用数学系,陕西西安710072

出　　处：《系统工程学报》2006年第2期201-205,共5页Journal of Systems Engineering

摘　　要：两基金分离定理对资本资产定价模型的研究有重要意义.经典的理论以方差为风险度量方法,而CVaR是近年来提出的一种新的风险度量方法.本文基于CVaR风险度量方法,研究了正态情形下风险资产组合的均值-CVaR模型,得到了此模型下的两基金分离定理及其有关性质,并与均值-方差模型进行了比较.最后通过实例分析表明均值-CVaR模型下的两基金分离定理更能满足投资者不同的风险忍受水平.Two-fund separation theorem is very important for the research of capital asset pricing model. Classical theory is based on the variance technique, and CVaR conditional value-at-risk is a new measure of risk which is presented recently. Based on the CVaR technique, the Mean-CVaR model under the assumption of normality of risk securities is studied in this paper. The two-fund separation theorem and the corresponding properties are proposed, and the comparison between the Mean-CVaR model and MeanVariance model is provided. Finally, an empirical example is given to show that the two-fund separation theorem in Mean-CVaR model rather satisfies the different risk tolerance levels of the investors.

关 键 词：资产组合 两基金分离定理 条件风险价值 风险价值 

分 类 号：F830.59[经济管理—金融学]