基于CvaR风险度量的证券组合投资决策模型研究

Portfolio optimization model based on the CvaR risk

利用VaR以及Rockafeller和Uryasev[3]提出的CvaR这一概念,并把它作为风险度量,建立了与马柯维茨的均值方差模型相类似的证券组合投资的均值——CvaR模型,在正态分布的条件下,导出了具体的模型,研究给出了其最优解的具体表达式。

Taking Rockafeller and Uryasev's CvaR theory as the risk model,this thesis builds a mean-variance model,which is similar to Markwitz's,for the stock investment.It further formulates an optional solution model under the normal distribution studies.