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This paper puts forward Markowitz's Mean-Variance Model under the VaR(Value at Risk) constraint. After analyzing Markowitz's Mean-Variance Model under the VaR constraint fit for China's securities market, it presents the dynamic adjustment method of investor's optimal securities investment portfolio. In the end, it gives out a practical analytical example in China's securities market and research conclusions.
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基本信息:
DOI：10.19343/j.cnki.11-1302/c.2004.07.007
中图分类号:F224
引用信息:
[1]黄继平,黄良文,陈蔚.基于风险控制的证券投资决策[J].统计研究,2004(07):44-48.DOI:10.19343/j.cnki.11-1302/c.2004.07.007.
基金信息: