Different Mean—CVaR Models in Various Situations and its Effective Boundary

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Year:
2018
Type of Publication:
Article
Keywords:
Mean Variance, Mean CVaR, Effective Borders
Authors:
Xinyu Ye; Likun Ning; Jing Yang; Dan Yao; Yicheng Hong
Journal:
IJISM
Volume:
6
Number:
6
Pages:
179-181
Month:
November
ISSN:
2347-9051
Abstract:
According to the framework of mean — CVaR model, CVaR is used instead of variance as a risk measurement to obtain the mean-CVaR model, and the intrinsic relationship between the two models is obtained. At the same time, from whether there are risk-free assets, whether there are risky assets, whether the loan rate is equal, these three cases discuss the effective boundary of mean—CVaR
Full text: IJISM_789_FINAL.pdf

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