关于加权的尾部均值方差准则下最优资本分配

Optimal Capital Allocation Based on the Weighted Tail-mean-variance Principle

文章针对总风险超过一定阈值的资本配置问题,在传统资本分配准则的基础上,研究了一种加权的尾部均值方差原则.

Aiming at the capital allocation problems with the aggregate risk exceeding a certain threshold, this paper proposes a novel weighted tail-mean-variance principle basing on traditional allocation principles.