摘要
本文在均值-方差模型和机会约束模型的基础上,提出了在允许卖空时的一类机会约束下含有资本结构因子和交易成本的均值-VaR证券投资组合模型,以期望收益率与置信水平为导向,在假设收益率服从正态分布的条件下,建立了其数学模型,并讨论了最优解的存在性和唯一性,以及最优解的解析表达式。
the paper combines the advantages of both the mean-VaR model and the chance--constrained programming model and presents an chance--constrained portfolio problem with transaction costs and varying capital structure factor in short selling, which is determined by expected rate of return and confidence level. Its mathematical model is established, and the properties of existence and uniqueness of the optimal solution are discussed. Moreover, the explicit representation of the optimal solution is given.
出处
《中国管理科学》
CSSCI
2008年第3期31-36,共6页
Chinese Journal of Management Science
关键词
风险价值
机会约束规划
资本结构因子
交易成本
有效边界
Value at Risk(VaR)
chance-constrained programming
capital structure factor
transactioncost
efficient frontier