The results implies that we can add CVaR restrict into portfolio of replication by a LP problem, can achieve CVaR from a linear function directly without first calculating VaR.

 
  • 計算結果表明;可以通過(guò)一個(gè)線(xiàn)性?xún)?yōu)化問(wèn)題將CVaR約束考慮到復制的組合中;CVaR的值可以直接由一個(gè)線(xiàn)性函數確定;不用先計算VaR的值.
今日熱詞
目錄 附錄 查詞歷史
国内精品美女A∨在线播放xuan