作　　者： ; ;

机构地区： 宁夏大学数学计算机学院

出　　处： 《宁夏大学学报（自然科学版）》 2004年第4期305-308,共4页

摘　　要： 在Markowitz证券组合理论的框架下,当证券贷款存在并且贷款的收益率服从正态分布时,提出了具有VaR约束和无风险贷款的证券组合的优化模型,并在证券收益率服从正态分布的前提下,给出了有效投资比例及有效边界的解析形式.它是均值 方差模型及有效前沿的推广. In Markwitz's portfolio theory, the researchers always use utility function to make up of the mean-variance, then, instruct investors to find the optimal portfolio. But this theory has many flaws. According VaR theory, this paper establishes a portfolio model under the constraints of both VaR and risk-free security (allowing for risk-free lending and borrowing). Furthermore, under the assumption of the rates of securities' returns being normal random variables, the calculation formulas of investment proportions and the mean-variance efficient frontier of portfolio are presented.

关 键 词： 无风险贷款 约束 最优解

领　　域： [理学] [理学] [经济管理]