摘要
提出了在CVaR约束下,投资组合优化模型,在收益向量服从正态分布的条件下,讨论了不含无风险资产和含无风险资产两种情况下最优解和可行解存在的条件,给出了最优解的解析表达式.
An optimal portfolio selection model is considered under constraint of CVaR. The existence conditions of the feasible and optimal solutions with or without the risk-free asset are discussed in case that the return vector follows the normal distribution. Meanwhile the analytic expression of the optimal solution is provided.
出处
《内蒙古大学学报（自然科学版）》
CAS
CSCD
北大核心
2007年第5期481-484,共4页
Journal of Inner Mongolia University：Natural Science Edition
基金
内蒙古科技大学校内基金资助项目
