DYNAMIC CVAR WITH MULTI-PERIOD RISK PROBLEMS  

作　　者：Zhiqing MENG Min JIANG Qiying HU 

机构地区：[1]College of Business and Administration, Zhejiang University of Technology, Hangzhou 310023, China [2]School of Management, Fudan University, Shanghai 200433, China

出　　处：《Journal of Systems Science & Complexity》2011年第5期907-918,共12页系统科学与复杂性学报（英文版）

基　　金：This research was supported in part by the National Natural Science Foundation of China under Grant Nos. 70971023 and 71001089 and in part by the Natural Science Foundation of Zhejiang Province under Grant No. Y60860040.

摘　　要：This paper studies multi-period risk management problems by presenting a dynamic risk measure. This risk measure is the sum of conditional value-at-risk of each period. The authors model it by Markov decision processes and derive its optimality equation. This equation is further transformed equivalently to an analytically tractable one. The authors then use the model and its results to a multi-period portfolio optimization when the return rate vectors at each period form a Markov chain.

关 键 词：α-CVaR MULTI-PERIOD optimality equation optimal policy. 

分 类 号：O224[理学—运筹学与控制论] X928.7[理学—数学]