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EaR风险度量与动态投资决策
汪寿阳; 李仲飞
2003
Source Publication数量经济技术经济研究
ISSN1000-3894
Volume000Issue:001Pages:45
Abstract本文引入在险收益(Earnings-at-Risk,EaR)的风险概念,并考虑连续时间Markowitz均值-方差型证券投资组合选择问题,其中度量风险的方差被替代为终端财富的在险收益。在Black-Scholes设置下,我们给出了均值-在险收益意义下的最优常数再调整(Best constant-rebalanced)证券组合投资策略以及有效边界的显式表达式。这一结果可方便地应用于动态投资决策与管理的实践中。我们还给出概念与结论的一些经济学解释。
Language英语
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/45402
Collection系统科学研究所
Affiliation中国科学院数学与系统科学研究院
Recommended Citation
GB/T 7714
汪寿阳,李仲飞. EaR风险度量与动态投资决策[J]. 数量经济技术经济研究,2003,000(001):45.
APA 汪寿阳,&李仲飞.(2003).EaR风险度量与动态投资决策.数量经济技术经济研究,000(001),45.
MLA 汪寿阳,et al."EaR风险度量与动态投资决策".数量经济技术经济研究 000.001(2003):45.
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