摘要
针对现代金融市场风险控制,基于风险价值(VaR)风险理论,建立了n周期最优资产组合的风险控制模型,对模型解的性质给出分析,并证明了n周期投资风险模型最优解的存在性与惟一性,为n周期投资策略优于连续单周期投资策略及其风险控制提供模型分析.这为投资策略优化、投资风险控制提供了理论分析依据.
According to VaR risk theory, this article has established the n circles superior property combination risk control model, and analyzed the character of the solution in the model. It is proved that the superior solution in the risk model is existent and unique, and the research provides the model to analysis that the n circles investment strategy is better than the continuous single circle investment strategy. It provides theoretic basis for investment strategy optimization and investment risk control.
出处
《西安建筑科技大学学报（自然科学版）》
CSCD
北大核心
2005年第1期60-63,共4页
Journal of Xi'an University of Architecture & Technology(Natural Science Edition)
基金
陕西省自然科学基金资助项目(2001G09)
