【摘要】 本文基于CVaR风险计量技术 ,讨论了正态情形下风险资产组合的均值—CVaR边界 ,探究了其经济含义 ,并与经典的方差风险下的均值—方差边界进行了对比研究 ,为彻底解决均值—CVaR的有效前沿问题提供了基础。更多还原

【Abstract】 Since CVaR (Conditional Value-at-Risk)—a new approach of risk management introduced by Rockafeller and Uryasev(2000),has significant advantages over VaR(Value-at-Risk) and more reasonable economic implications than VaR,it is considered to be a more stable、consistent and efficient measure of risk than VaR.Based on the CVaR technique,this paper studies the Mean\_CVaR boundary of portfolio and examine the economic implications under the assumption of normality of risk securities.The comparison between the Mean\_CVaR boundary and the Mean\_Variance boundary is provided.更多还原