摘要
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
出处
《淮北师范大学学报(自然科学版)》
CAS
2012年第1期24-28,共5页
Journal of Huaibei Normal University:Natural Sciences
基金
蚌埠学院自然科学研究项目(2010ZR10)