安全第一标准下基于VaR度量的投资组合优化问题

F830.9; 为了让证券投资者更好地按照自己的安全标准进行投资,根据PYLE H和TURNOVSKY S J提出的安全第一标准,给出在风险价值(VaR)度量下如何选取到最优证券组合的相关结果.其结论对投资者在选择证券投资组合时具有理论上的参考价值....

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Published in浙江大学学报（理学版） Vol. 33; no. 5; pp. 503 - 506
Main Authors 罗樱, 于欣, 刘康生
Format Journal Article
LanguageChinese
Published 浙江大学,数学系,浙江,杭州,310027%浙江大学宁波理工学院,信息与计算科学系,浙江,宁波,315100 2006
Subjects
安全第一准则
投资组合
遗传算法
风险价值
Online AccessGet full text
ISSN1008-9497
DOI10.3321/j.issn:1008-9497.2006.05.006

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Abstract F830.9; 为了让证券投资者更好地按照自己的安全标准进行投资,根据PYLE H和TURNOVSKY S J提出的安全第一标准,给出在风险价值(VaR)度量下如何选取到最优证券组合的相关结果.其结论对投资者在选择证券投资组合时具有理论上的参考价值.
AbstractList F830.9; 为了让证券投资者更好地按照自己的安全标准进行投资,根据PYLE H和TURNOVSKY S J提出的安全第一标准,给出在风险价值(VaR)度量下如何选取到最优证券组合的相关结果.其结论对投资者在选择证券投资组合时具有理论上的参考价值.
Author 刘康生
于欣
罗樱
AuthorAffiliation 浙江大学,数学系,浙江,杭州,310027%浙江大学宁波理工学院,信息与计算科学系,浙江,宁波,315100
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Author_FL YU Xin
LIU Kang-sheng
LUO Ying
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投资组合
遗传算法
风险价值
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Publisher 浙江大学,数学系,浙江,杭州,310027%浙江大学宁波理工学院,信息与计算科学系,浙江,宁波,315100
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Snippet F830.9; 为了让证券投资者更好地按照自己的安全标准进行投资,根据PYLE H和TURNOVSKY S J提出的安全第一标准,给出在风险价值(VaR)度量下如何选取到最优证券组合的相关结果....
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Title 安全第一标准下基于VaR度量的投资组合优化问题
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