摘要
Va R由于能够提供衡量市场风险的实用指标 ,不仅便于金融机构进行风险管理 ,而且有助于监管部门进行有效监管 ,目前已得到广泛应用。本文介绍一种 Va R的修正模型 CVa R,并且将其与 AntonioDuarte提出的投资组合优化统一模型联系起来 。
The Value at Risk (VaR) metric is widely reported and accepted since it can provide an useful index of risk over an asset or a portfolio. Not only can it facilitate the internal risks management for financial institutions, it can also help regulators to perform effective supervision. This paper introduces one of them, CVaR, and CVaR based portfolio optimization. This optimization model will be compared with the unifying model proposed by Antonio Duarte, and the relation between them will be discussed.
出处
《系统工程理论方法应用》
2002年第1期68-71,共4页
Systems Engineering Theory·Methodology·Applications
