机会约束下不允许无风险借入的均值-VaR投资组合模型

Research on the Mean-VaR Portfolion Model under Constraint of Investment Chance with Riskless Asset Can't Be Borrowed

在投资组合回报率服从正态分布的前提下,建立了允许无风险借出但不允许无风险借入的具有投资机会约束的均值-VaR投资组合模型,讨论了模型最优解的存在唯一性,并指出了最优解的位置.

Under the assumption that the rates of return of portfolion are normal random variables, a mean-VaR portfolio model under constraint of investment chance with riskless asset can be lent but Can＇t be Borrowed is established. Existence and uniqueness of the model＇s optimal solution are discussed. Moreover, the place of the optimal solution is obtained.