统计研究 ›› 2004, Vol. 21 ›› Issue (7): 44-5.

• 论文 • 上一篇    下一篇

基于风险控制的证券投资决策

黄继平;黄良文;陈蔚   

  1. 厦门大学;国家统计局
  • 收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2004-07-15 发布日期:2004-07-15

  • Received:1900-01-01 Revised:1900-01-01 Online:2004-07-15 Published:2004-07-15

Abstract: This paper puts forward Markowitz‘ s Mean-Variance Model under the VaR (Value at Risk ) constraint. After analyzing Markowitz‘ s Mean-Variance Model under the VaR constraint fit for China‘ s securities market, it presents the dynamic adjustment method of investor‘s optimal securities investment portfolio. In the end, it gives out a practical analytical example in China‘ s securities market and research conclusions.