摘要
风险价值(VaR)是近年来最为流行的风险管理工具.本文在无风险证券情形下,将VaR约束引入到传统的均值-方差投资组合理论中,考察了此时投资组合的有效前沿以及投资组合选择的变化,并指出了VaR约束对证券投资基金组合管理的意义.
Value-at-risk(VaR) has become the most popular risk management tool. With riskfree securities in the economy, this paper examined some changes of portfolio's efficient frontier and of portfolio selection when a VaR constraint is introduced into the traditional mean-variance portfolio theory, and presented the implications of VaR constraint for equity investment funds' portfolio management.
出处
《上海交通大学学报》
EI
CAS
CSCD
北大核心
2004年第3期441-444,共4页
Journal of Shanghai Jiaotong University
关键词
风险价值约束
有效前沿
投资组合选择
value-at-risk(VaR) constraint
efficient frontier
portfolio selection
