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

Select Volume / Issue:

• Volume 6,Issue 6,Nov.,2018

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 [Bibtex]