Scenario approach is a widely used tool in portfolio risk management,however,it often runs into dilemma when determining the distribution of asset returns with insufficient information,which will be used to simulate t...Scenario approach is a widely used tool in portfolio risk management,however,it often runs into dilemma when determining the distribution of asset returns with insufficient information,which will be used to simulate the scenarios.Also the quality of generated scenarios are not guaranteed even when the distribution of asset returns is known exactly.A set-valued scenario approach was proposed by Zhu,et al.(2015)as a possible remedy.As a necessary supplement of the results proposed by Zhu,et al.(2015),this paper theoretically investigates the convergent property of the numerical solution based on the set-valued scenario approach under the condition that the underlying distribution is known.展开更多
基金partially supported by the National Natural Science Foundation of China under Grant Nos.71471180,61170107,71571062the National Natural Science Foundation of Hebei Normal University under Grant No.L2011Z12
文摘Scenario approach is a widely used tool in portfolio risk management,however,it often runs into dilemma when determining the distribution of asset returns with insufficient information,which will be used to simulate the scenarios.Also the quality of generated scenarios are not guaranteed even when the distribution of asset returns is known exactly.A set-valued scenario approach was proposed by Zhu,et al.(2015)as a possible remedy.As a necessary supplement of the results proposed by Zhu,et al.(2015),this paper theoretically investigates the convergent property of the numerical solution based on the set-valued scenario approach under the condition that the underlying distribution is known.
