【摘要】 在证券收益率服从正态分布的前提下 ,建立了投资机会与 Va R双重约束下的投资组合模型 ,讨论了最优解的存在唯一性 ,并得到了最优解的解析表达式 .更多还原

【Abstract】 Under the assumption that the rates of securities’ returns are normal random variables, a portfolio model under constraints of both investment chances and VaR is established. Existence and uniqueness of the optimal solution are discussed. Moreover, the explicit representation of the optimal solution is obtained.更多还原