基于CVaR的双侧风险度量模型的求解与实证分析  

The empirical analysis and solution of double side risk measure model based on CVaR

作　　者：张立强[1] 曾玲[1] 吕海英[1] 何普彦[1] 

机构地区：[1]桂林电子科技大学数学与计算科学学院,广西桂林541004

出　　处：《桂林电子科技大学学报》2013年第1期78-82,共5页Journal of Guilin University of Electronic Technology

基　　金：国家自然科学基金(61163041)

摘　　要：针对双侧风险度量模型,给出了在正态分布及Laplace分布下模型的求解方法,选取泰达宏利聚利基金,利用该模型计算风险值。通过比较发现,利用双侧风险度量法计算出的风险值与实际风险偏差相对较小。Aiming at the double side risk measure model, a solving method is given in the condition of normal distri- bution and Laplace distribution, then the teda manuterm gather fund is chosen to calculate its risk value by using the model. Compared with the actual risk deviation, it is relatively small by using the double side risk measure.

关 键 词：风险度量 LAPLACE分布 CVAR 超额收益 风险偏好 

分 类 号：O224[理学—运筹学与控制论]