【摘要】 本文在投资组合回报率服从正态分布的前提下,建立了具有投资机会约束的均值-VaR投资组合模型,讨论了模型最优解的存在唯一性,并得到了最优解的解析表达式;通过比较分析得出,具有投资机会约束的均值-方差投资组合模型只是本文讨论的模型的特款。更多还原

【Abstract】 Under the assumption that the rates of return of portfolio are normal random variables,a mean-VaR portfolio model under constraint of investment chance is established.Existence and uniqueness of the model’s optimal solution are discussed.Moreover,the explicit representation of the optimal solution is obtained. It is observed by comparison that the mean-variance portfolio model under chanced constraint is the special case of the model discussed in this paper.更多还原