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Mean-CVaR模型下的两基金分离定理 被引量:1

Two-fund Separation Theorem under Mean-CVaR Model
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摘要 简要介绍了CVaR风险度量方法,并基于CVaR风险度量方法研究了风险资产组合以及含有无风险资产的资产组合服从多元T分布情形下资产组合的Mean-CVaR模型,分别得到了此模型下两种资产组合的两基金分离定理。 Based on the CVaR technique,this paper studies the Mean-CVaR model about portfolio under the assumption of multivariate distribution,and two-fund separation theorem is derived.
出处 《宿州学院学报》 2011年第2期8-10,共3页 Journal of Suzhou University
基金 宿州学院校级自然科学研究项目(2009yzk21 2009yzk28) 宿州学院硕士科研启动基金项目(2008yss17)
关键词 资产组合 Mean-CVaR模型 多元T分布 两基金分离定理 portfolio Mean-CVaR Model multivariate distribution Two-fund Separation Theorem
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