【摘要】 本文根据均值-方差模型的框架,建立了用VaR代替方差或标准差作为风险的测量指标时的均值 VaR模型,同时使用等VaR线分析了两种模型的内在联系。作为模型的扩展本文还分别考虑了存在无风险资产,负债和非正态分布时的情形。此外讨论了均值 VaR模型有效边界的一些性质。更多还原

【Abstract】 This paper establishes the Mean-VaR model based on the well-known Mean-Variance asset allocation framework by replacing variance with VaR.By using the IsoVaR,the relations between Mean-VaR model and Mean-Variance model are analyzed.Furthermore,the cases with a riskless security,liability and non-normality are considered respectively.Finally,economic interpretations of some results in this paper are proposed.更多还原