Risk Asset Portfolio Choice Models under Three Risk Measures

Yu Ling Wang; Jun Hai Ma; Yu Hua Xu

doi:10.4028/www.scientific.net/AMR.204-210.537

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HomeAdvanced Materials ResearchAdvanced Materials Research Vols. 204-210Risk Asset Portfolio Choice Models under Three...

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.

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Periodical:

Advanced Materials Research (Volumes 204-210)

Pages:

537-540

DOI:

https://doi.org/10.4028/www.scientific.net/AMR.204-210.537

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Online since:

February 2011

Authors:

Yu Ling Wang, Jun Hai Ma, Yu Hua Xu

Keywords:

CVaR, Portfolio Choice, Risk Management (RM), VAR

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