Risk Asset Portfolio Choice Models under Three Risk Measures

Abstract:

Article Preview

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 et al., "Risk Asset Portfolio Choice Models under Three Risk Measures", Advanced Materials Research, Vols. 204-210, pp. 537-540, 2011

Online since:

February 2011

Export:

Price:

$35.00

In order to see related information, you need to Login.

In order to see related information, you need to Login.