CVaR度量下基于安全第一的最优投资组合

Optimal Portfolio Satisfying Safety-First Criteria under the Measure of CVaR

为了让证券投资者更好地按照自己的安全标准进行投资,根据H.Pyle和S.J.Turnovsky提出的安全第一标准,给出了在条件风险价值(CVaR)度量下如何选取最优证券组合的方法,其结论对投资者在选择证券投资组合时具有理论上的参考价值.

To deal with portfolio selection problem, according to Safety-First Criteria under the measure some theoretical basis for security investors to make to satisfy the desired safety criteria. the paper presents optimal portfolio models of Conditional Value-at-Risk. The results lay correct decisions when selecting the portfolio to satisfy the desired safety criteria.