协方差矩阵为奇异的均值-CVaR模型的研究  

Research on the Mean-CVaR Model under the Covariance Matrix being Singular

作　　者：向华[1] 周伟峰[2] 

机构地区：[1]楚雄师范学院政治与公共管理系,云南楚雄675000 [2]楚雄师范学院数学系,云南楚雄675000

出　　处：《重庆工商大学学报（自然科学版）》2010年第4期327-330,共4页Journal of Chongqing Technology and Business University:Natural Science Edition

基　　金：楚雄师范学院院级后备人才资助项目(09YJRC13)

摘　　要：在协方差矩阵奇异的条件下,对均值-CVaR模型的有效边界进行了研究;得到资产的有效边界要么等同于它的极大线性无关组的有效边界,要么与它的极大线性无关组与无风险资产的有效边界是相同的结论.In this paper,under the covariance matrix being singular,we introduce the portfolio frontier of the mean-CVaR model.And we obtain the conclusion that the portfolio efficient frontier on the model is as the same as that of the extreme linear independent of the portfolio efficient frontier,or the same as that of the extreme linear independent of the portfolio efficient frontier with risk-free asset.

关 键 词：协方差矩阵 均值-CVAR模型 有效边界 极大线性无关组 

分 类 号：O29[理学—应用数学]