| 基于n周期风险价值下的log最优资产风险控制模型及分析 |
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| 引用本文： | 李家军,秦超英,覃森. 基于n周期风险价值下的log最优资产风险控制模型及分析[J]. 西安建筑科技大学学报(自然科学版), 2005, 37(1): 60-63 |
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| 作者姓名： | 李家军 秦超英 覃森 |
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| 作者单位： | 1. 西北工业大学经济研究中心
2. 西北工业大学理学院,陕西,西安,710072 |
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| 基金项目： | 陕西省自然科学基金资助项目(2001G09) |
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| 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．
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| 关 键 词： | n周期 风险控制 风险价值 组合模型 |
| 文章编号： | 1006-7930(2005)01-0060-04 |
| 修稿时间： | 2004-07-27 |
Superior property risk control model and analysis in log on the theory about VaR in n circles |
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| LI Jia-jun,QIN Chao-ying,TAN Sen. Superior property risk control model and analysis in log on the theory about VaR in n circles[J]. Journal of Xi'an University of Architecture & Technology, 2005, 37(1): 60-63 |
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| Authors: | LI Jia-jun QIN Chao-ying TAN Sen |
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| Affiliation: | LI Jia-jun~1,QIN Chao-ying~2,TAN Sen~2 |
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| Abstract: | 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. |
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| Keywords: | n circles risk control VaR combination model |
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