CVaR的灵敏度分析

Analysis of sensitivity of Conditional Value at Risk

是对CVaR关于投资组合的灵敏度进行分析,得到CVaR关于投资组合一阶、二阶偏导数的解析表达式.通过对CVaR的灵敏度的仿真,验证了CVaR的凸性并为寻求最优投资比例提供了一种方法.

The aim of this paper is to analyze the sensitivity of Conditional Value at Risk （CVaR） with respect to portfolio allocation. We derive analytical expressions for the first and second derivatives of the CVaR, and also prove the convexity of CVaR for estimating efficient portfolio.