The Study on aaa Mean-VaR Portfolio Optimal Model under Different Riskfree Rates and Constraint of Investment Chance

摘要：

Riskfree securities (including riskfree debit and credit) with different riskfree rates are introduced in the mean-VaR (Value at Risk) portfolio model. Existence and uniqueness of the models optimal solution are proved. Then constraints of investment chance are introduced on the mean-VaR models effective border, we obtained the explicit representation of the optimal solution of this mean-VaR model subjected to constraints of investment chance.

关键词： Portfolio VaR Riskfree Security Different Riskfree Rates Constraint of Investment Chance

作者: AN Qiguang MENG Qingchun

作者单位: Department of Finance, Shandong Finance Institute, P.R.China, 250014 School of Management, Shandong University, P.R.China, 250100

会议类型: 国际会议

会议名称: 2008年国际应用统计学术研讨会(2008 International Institute of Applied Statistics Studies)

会议地点: 烟台

会议语种:英文

页码: 1-7

在线出版日期: 2008-08-14（万方平台首次上网日期，不代表论文的发表时间）