无风险资产与证券收益率相关时通货膨胀率影响下的均值-VaR模型

The Optimal Portfolio Based on VaR with the Consideration of Inflation and Riskless Assents are Relation to Risk Assents Return

文章研究无风险资产与证券收益率相关时通货膨胀率影响下的均值-VaR模型,用拉格朗日乘子法得出了M-VaR模型的有效边界,证明其有效边界是一个凸区域,该模型是一般M-VaR模型的推广.

In this paper, we research the optimal portfolio based on VaR with the consideration of inflation and get the efficient frontier by the Lagrange method of multipliers. Then we proof the M - VaR efficient convex curve, which is the generalization of the M-VaR efficient frontier with the reckless assets consideration of inflalion. frontier is a without the