| 基于CVaR风险度量方法的投资组合模型研究 |
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| 引用本文： | 魏丹,单锋.基于CVaR风险度量方法的投资组合模型研究[J].沈阳航空工业学院学报,2010,27(3):80-82. |
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| 作者姓名： | 魏丹 单锋 |
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| 作者单位： | 沈阳航空航天大学,辽宁,沈阳,110136 |
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| 摘 要： | 介绍了CVaR的概念及算法,并利用CVaR对风险进行度量,提出一个新的基于CVaR风险度量方法的投资组合优化模型。利用股票数据进行了实证分析,验证了模型的有效性。
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| 关 键 词： | CVaR 风险度量 投资组合 |
Study on CVaR risk measurement based on portfolio optimization model |
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| WEI Dan,SHAN Feng.Study on CVaR risk measurement based on portfolio optimization model[J].Journal of Shenyang Institute of Aeronautical Engineering,2010,27(3):80-82. |
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| Authors: | WEI Dan SHAN Feng |
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| Institution: | (Shenyang Aerospace University,Liaoning Shenyang 110136) |
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| Abstract: | In this paper we introduce the concept of CVaR and algorithm,and use CVaR to measure the risk.We put forward a new optical portfolio model based on CVaR to minimize risk.A case study for national stock data is performed to demonstrate the new optimization techniques and tesified validity. |
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| Keywords: | CVaR |
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