基于风险计量指标的证券组合投资的数学模型及其应用

主管：中国科学院
主办：中国优选法统筹法与经济数学研究会
　　　中国科学院科技战略咨询研究院

Chinese Journal of Management Science ›› 2001, Vol. ›› Issue (3): 6-12.

Previous Articles Next Articles

Mathematical Model for Security Portfolio based on Risk Measure Index and Practical Example

SHEN Xiao-chun¹, XIE Dun-li²

1. Zhejiang Security Co., Ltd, Hangzhou 310006, China;
2. Management School, Zhejiang University, Hangzhou 310028, China

Received:2000-12-22 Online:2001-06-28 Published:2012-03-06

Abstract

CLC Number:

C931:F224

SHEN Xiao-chun, XIE Dun-li. Mathematical Model for Security Portfolio based on Risk Measure Index and Practical Example[J]. Chinese Journal of Management Science, 2001, (3): 6-12.

[1]	JIN Xiang-shu, YUAN Wen-yan, WU Jun, LI Jian, WANG Ya-jing. Risk Control of Supply Chain Finance based on Revenuesharing-bidirectional Option Contract [J]. Chinese Journal of Management Science, 2020, 28(1): 68-78.
[2]	SHI Cheng-dong, CHEN Ju-hong. On Three Echelon Supply Chain Coordination Contract under the Downside-risk Measurement [J]. Chinese Journal of Management Science, 2010, 18(1): 90-94.
[3]	SUN Hong, ZHANG Xiang, XU Jie. The Theory of Integrated Airline Fleet Dispatching [J]. Chinese Journal of Management Science, 2008, 16(1): 86-89.
[4]	WANG Ya, LIU Bao-dong. Pollution Charge Optimization Model Based On Rough Set Theory [J]. Chinese Journal of Management Science, 2007, 15(2): 81-85.
[5]	ZHOU Yan-ju, QIU Wan-hua, WANG Zong-run. Optimal Ordering Model for Multi-Products with CVaR Constraints [J]. Chinese Journal of Management Science, 2006, (5): 62-67.
[6]	DU Ben-feng. Risk Budgeting and Investment Structure Optimizing Models [J]. Chinese Journal of Management Science, 2005, (3): 1-5.
[7]	WANG Zhong-yu. The Mathematical Model of Herd Behavior in Financial Market [J]. Chinese Journal of Management Science, 2000, (2): 51-56.
[8]	Zhao Xiaodong, Zhang Yaming. Discovery logic Model and Application in Economic Management [J]. Chinese Journal of Management Science, 1999, (4): 6-10.
[9]	Jiang Xiaoyun. Further Analysis for Hua’s Macro-Economic Mathematical Model with Many Years’ Delay [J]. Chinese Journal of Management Science, 1998, (3): 44-49.
[10]	Liu Sifeng, Li Bingjun, Yang Ling, Zhu Yongda. Study on the Mathematical Model and Indices for the Snthetic Evaluation of Regional Leading Industry [J]. Chinese Journal of Management Science, 1998, (2): 8-13.
[11]	Xia Yusen, Wang Shouyang, Deng Xiaotie. Mathematical Models in Finance [J]. Chinese Journal of Management Science, 1998, (1): 1-9.
[12]	Hau Zhao, Li Yebei. Research on Stock Decision Support System in Industry Enterprise [J]. Chinese Journal of Management Science, 1997, (4): 22-28.

Mathematical Model for Security Portfolio based on Risk Measure Index and Practical Example

PDF (PC)

Knowledge

Cited

Abstract

Cite this article

share this article

References

Related Articles 12

Metrics

Comments

Recommended 10