均值—条件风险价值模型有效前沿分析——以含无风险资产和持有期为研究视角  

Efficient Frontier Analysis of Mean-CVaR Based on Risk-free Asset and Holding Period Condition

作　　者：周圣[1] 

机构地区：[1]西南交通大学经济管理学院,四川成都610031

出　　处：《西南交通大学学报（社会科学版）》2012年第3期122-126,共5页Journal of Southwest Jiaotong University(Social Sciences)

基　　金：教育部人文社会科学基金(12YJA790110);中央高校基本科研业务费专题项目(A0920502051113-67)

摘　　要：从有效投资组合的角度构建持有期下含有无风险资产的均值—条件风险价值模型,用Lagrange乘子法对该模型求解,可得到:一定条件下,新模型的有效前沿与均值—方差模型有效前沿是一致的;且当借贷利率不同时,新模型的有效前沿可以根据组合预期收益率与借贷利率的不同关系,由线段、双曲线以及射线三个部分组合而成。A risk-free asset is included in the portfolio, and the mean-CVaR model is established under holding period condition. The model is solved through Lagrange multiplier method, and the results show that efficient frontiers of mean-CVaR and mean-variance model coincide based on some given conditions. Furthermore, according to the relationship between the expected rate of return and borrowinglending rates, the efficient frontier of mean-CVaR model consists of line segment, hyperbola segment and half line with different borrowing-lending rates.

关 键 词：投资组合 条件风险价值 无风险资产 有效前沿 均值—方差模型 均值—条件风险价值模型 

分 类 号：F224[经济管理—国民经济] F830.59