摘要
条件风险价值CVaR满足一致性风险度量特性,以投资组合的下方风险为度量对象,能够正确计量某种投资组合方式下的潜在风险,有利于投资者做出有效的投资决策。文章以CVaR为基础,构建供电公司多市场购电的均值-CVaR模型,以风险最小为目标,获取满足购电成本约束条件下的最优购电组合。
Conditional value-at-risk （CVaR） achieves consistent risk measurement. It is able to correctly calculate potential risk of a certain investment portfolio by measuring its downside risk, beneficial to effectively make investment decision for investors. A mean value-CVaR model based on CVaR in relation to power purchase in a number of markets by a power supply company is established, aiming at getting an optimal purchasing portfolio with minimum risk given limited cost of power purchasing.
出处
《红水河》
2009年第6期124-126,共3页
Hongshui River
