| 一种风险值最优控制模型 |
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| 引用本文： | 蒋敏,胡奇英,孟志青.一种风险值最优控制模型[J].西安电子科技大学学报,2006,33(1):142-144. |
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| 作者姓名： | 蒋敏 胡奇英 孟志青 |
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| 作者单位： | [1]西安电子科技大学经济管理学院,陕西西安710071 [2]上海大学国际工商与管理学院,上海201800 [3]浙江工业大学经贸管理学院,浙江杭州310032 |
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| 摘 要： | 在已有的条件风险值的基础上建立了一种新的风险控制模型．给出连续时间条件下的α—CVaR损失值的概念及相应的最优控制模型。它可近似离散化为一个多阶段决策问题．由此提出离散化下的α—CVaR损失值的概念及相应的风险控制模型，证明它等价干求解一个动态规划的最优递推方程．
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| 关 键 词： | 最优控制 风险值 损失函数 CVaR损失值 |
| 文章编号： | 1001-2400（2006）01-0142-03 |
| 收稿时间： | 2005-02-23 |
| 修稿时间： | 2005-02-23 |
Study of the optimal control model of the value-at-risk |
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| JIANG Min,HU Qi-ying,MENG Zhi-qing.Study of the optimal control model of the value-at-risk[J].Journal of Xidian University,2006,33(1):142-144. |
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| Authors: | JIANG Min HU Qi-ying MENG Zhi-qing |
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| Affiliation: | (1) School of Economics and Management, Xidian Univ., Xi′an 710071， China;(2) College of International Business & Management, Shanghai Univ., Shanghai 201800， China;(3) College of Business and Adiministration, Zhejiang Univ. of Technology, Hangzhou 310032， China |
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| Abstract: | The problems of value-at-risk is an important topic and have already been used widely in the finance market. This paper discusses a new optimal control model of the conditional value-at-risk in the finance market. We present the concept of α-CVaR under the confidence level vector α and its optimal control model (CCVaR) with continuous time, which can be dispersed approximatively to a problem of multi-stages analysis. Then, we present the concept of α-CVaR under the confidence level vector α and its optimal control model (SCVaR) with a discrete case. We prove that the optimal solution to the problem (SCVaR) can be obtained by solving an optimal recursive equation of dynamic programming. It is meaningful to solve the problem of the control model of the conditional value-at-risk. |
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| Keywords: | optimal control risk value loss function conditional value-at-risk |
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