基于风险控制的证券投资决策
2004-07-15分类号:F224
【部门】厦门大学经济学院 厦门大学经济学院 国家统计局办公室
【摘要】This paper puts forward Markowitz's Mean-Variance Model under the VaR(Value at Risk) constraint. After analyzing Markowitz's Mean-Variance Model under the VaR constraint fit for China's securities market, it presents the dynamic adjustment method of investor's optimal securities investment portfolio. In the end, it gives out a practical analytical example in China's securities market and research conclusions.
【关键词】Markowitz均值-方差模型 VaR方法 最优证券投资组合 动态调整
【基金】
【所属期刊栏目】统计研究
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