多阶段资产组合选择均值-VaR模型的研究

Study on mean-VaR models for multi-period portfolio selection

建立了多阶段情形下的均值-方差模型和均值-VaR模型,比较了这两种模型的性质,并给出了其最小方差组合性质以及在收益率的均值-标准差坐标下,不同的风险度量方法产生的不同的有效边缘,同时研究了VaR模型置信度趋于1时的极限性质.

The mean-variance and mean-VaR models for multi-period portfolio selection are explored respectively, and the difference properties of models are compared. Extensions of Alexander's results to the case of multi-period are provided.