Paper Title:
Risk Asset Portfolio Choice Models under Three Risk Measures
  Abstract

Mean-variance model, value at risk and Conditional Value at Risk are three chief methods to measure financial risk recently. The demonstrative research shows that three optional questions are equivalence when the security rates have a multivariate normal distribution and the given confidence level is more than a special value. Applications to real data provide empirical support to this methodology. This result has provided new methods for us about further research of risk portfolios.

  Info
Periodical
Advanced Materials Research (Volumes 204-210)
Edited by
Helen Zhang, Gang Shen and David Jin
Pages
537-540
DOI
10.4028/www.scientific.net/AMR.204-210.537
Citation
Y. L. Wang, J. H. Ma, Y. H. Xu, "Risk Asset Portfolio Choice Models under Three Risk Measures", Advanced Materials Research, Vols. 204-210, pp. 537-540, 2011
Online since
February 2011
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Price
$32.00
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