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Mean—EaR模型的最优解及其有效边界

Optimal Solution and Efficient Frontier of Mean-EaR
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摘要 在Black-Scholes金融市场假设下,利用在险收益风险测度(EaR*)作为风险的度量标准,研究了Mean(均值)-EaR*模型下的动态最优投资组合策略的选择问题,获得了该模型下的最优投资策略的显式解,同时给出了有效边界. With the hypothesis of Black-Scholes financinal market model, the paper studies dynamic optimal portfolio of the model Mean EaR^＊ by using EaR^＆＊ as risk measure, and obtains the explicit solution and efficient frontier of this model.
作者 董晓娜 戴建锋 闫海峰
机构地区 黄河水利职业技术学院 南京财经大学
出处 《河南大学学报（自然科学版）》 CAS 北大核心 2008年第6期556-558,共3页 Journal of Henan University:Natural Science
关键词 Black-Scholes金融市场 动态最优投资组合 风险测度 有效边界 Black Scholes financinal market dynamic optimal portfolio risk measure efficient frontier
分类号 O211.6 [理学—概率论与数理统计]
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参考文献6

  • 1Markowitz, H. M. Portfolio selection [J]. The Journal of Finance, 1952, 7(1) : 77--91.
  • 2Li D, Ng W I.. Optimal dynamic portfolio selection: Multi-period mean-variance formulation [J]. Mathematical Finance, 2000, 10:387--406.
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  • 6李仲飞,汪寿阳.EaR风险度量与动态投资决策[J].数量经济技术经济研究,2003,20(1):45-51. 被引量：24

二级参考文献11

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共引文献23

河南大学学报（自然科学版）
2008年 第6期

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