【摘要】 本文给出了在绩效———VaR风险有效前沿上,满足安全第一标准的最优证券组合的求解方法和相关结果。这些结果可以使金融机构和投资者在满足其给定安全标准的前提下选取到最优的证券组合。更多还原

【Abstract】 In this paper,we will give the method to determine the optimal portfolio and relevant results satisfying the given safety criteria under the popular measure of riskValue-at-Risk according to the three forms of safety-first criteria.These results can provide theoretical basis for financial organization and investors to make correct decisions,and to select optimal portfolio satisfying the safe criteria desired.更多还原