【摘要】 CVaR是指损失超过VaR的条件均值,反映了损失超过VaR时可能遭受的平均损失水平,它克服了VaR的非一致性、非凸性等不足.本文基于CVaR风险计量技术,分析了风险证券的投资收益率在服从正态分布下的风险资产组合均值-CVaR模型,给出了该风险资产组合有解的条件,以及在该条件满足下,最小均值-CVaR组合的投资比例解析形式和最小值.更多还原

【Abstract】 Conditional Value-at-Risk(CVaR) is known as mean excess loss,it is the conditional(expectation) of losses above that amount VaR.As an alternative measure of risk,CVaR is known to have better properties than VaR,such as subadditivity and convexity.Based on the normal assumption for the distribution of financial returns,here analyze the minimum modeling of mean-CVaR, and evaluate when the model has efficient solution,and when this condition is satisfied,the formula of efficient frontier of portfolio and minimum value are presented.更多还原