摘要
在协方差矩阵奇异的条件下,对均值-CVaR模型的有效边界进行了研究;得到资产的有效边界要么等同于它的极大线性无关组的有效边界,要么与它的极大线性无关组与无风险资产的有效边界是相同的结论.
In this paper,under the covariance matrix being singular,we introduce the portfolio frontier of the mean-CVaR model.And we obtain the conclusion that the portfolio efficient frontier on the model is as the same as that of the extreme linear independent of the portfolio efficient frontier,or the same as that of the extreme linear independent of the portfolio efficient frontier with risk-free asset.
出处
《重庆工商大学学报（自然科学版）》
2010年第4期327-330,共4页
Journal of Chongqing Technology and Business University:Natural Science Edition
基金
楚雄师范学院院级后备人才资助项目(09YJRC13)
