期刊文献+

最佳投资组合的稳定性及其实证分析

Stability of Portfolio and Its Empirical Analysis
下载PDF
导出
摘要 建立组合投资的多目标决策模型,将投资者的收益-风险偏好程度量化,提出一种从品种选择、参数确定、模型建立到确定最佳组合的系统的投资方法.实证研究了最佳投资组合关于投资者的收益-风险偏好程度的稳定性,由此证明,对于不同投资风格的投资者,相应的最佳投资组合的调整直观且简便易操作.
出处 《中国管理科学》 CSSCI 2003年第z1期236-239,共4页 Chinese Journal of Management Science
  • 相关文献

参考文献6

二级参考文献14

  • 1[1]Stambaugh F. Risk and value at risk [J]. European Management Journal, 1996, 14: 612-621.
  • 2[2]Beder T. VaR: Seductive but dangerous [J]. Financial Analysts Journal, Capital Market Risk Advisors, Inc., 1995.
  • 3[3]Mckay R, Keefer T E. VaR is a dangerous technique [J]. Corporate Financial Searching for Systems Integration Supplement, 1996, (9):30.
  • 4[4]Carlo Acerbi, Claudio Nordio, Carlo Sirtori. Expected shortfall as a tool for financial risk management [DB/OL]. http://www.gloriamundi.org/var/vw/20010210.htm,2001.
  • 5[5]Artzner P, Delbaen F, Eber J M, Heath D. Coherent measures of risk [J]. Mathematical Finance, 1999, (9):203-228.
  • 6[6]Rockafellar R T, Uryasev S. Optimization of conditional value-at risk [J]. The Journal of Risk, 1999, 2(3). http://www.ise.ufl.edu/uryasev/pubs.html.
  • 7[7]Antonio Marcos Durate Jr. Fast computation of efficient portfolios [DB/OL]. http://www.risktech.combr/PDFs/JOFRISK.pdf
  • 8[8]Palmquist J, Uryasev S. Portfolio optimization with conditional value-at risk objective and constraints [R]. Research Report #99-14 ISE Dept. University of Florida, 1999. http://www.ise.ufl.edu/uryasev/drd 2000-5.pdf
  • 9Markowitz H.Portfolio Selection[J].Journal of Finance,1952,7:77-91.
  • 10Markowitz H.Mean-Variance Analysis in Portfolio Choice and Capital Markets[M].New York,Wiley,1959.

共引文献64

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部