{"title":"财务风险控制的均值- var模型分析","authors":"Zhou Sheng , Shi Benshan , Wen Zhongping","doi":"10.1016/j.sepro.2011.11.047","DOIUrl":null,"url":null,"abstract":"<div><p>Financial risk control is a kind of complicated system engineering. This paper studies validity of portfolio investment of the mean-VaR model under holding period condition. The model is analyzed through Lagrange multiplier method, and the portfolio weight of global minimum VaR is also given by the portfolio weight combined of minimum variance and maximum Sharpe ratio.</p></div>","PeriodicalId":101207,"journal":{"name":"Systems Engineering Procedia","volume":"4 ","pages":"Pages 40-45"},"PeriodicalIF":0.0000,"publicationDate":"2012-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.sepro.2011.11.047","citationCount":"7","resultStr":"{\"title\":\"Analysis of mean-VaR model for financial risk control\",\"authors\":\"Zhou Sheng , Shi Benshan , Wen Zhongping\",\"doi\":\"10.1016/j.sepro.2011.11.047\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>Financial risk control is a kind of complicated system engineering. This paper studies validity of portfolio investment of the mean-VaR model under holding period condition. The model is analyzed through Lagrange multiplier method, and the portfolio weight of global minimum VaR is also given by the portfolio weight combined of minimum variance and maximum Sharpe ratio.</p></div>\",\"PeriodicalId\":101207,\"journal\":{\"name\":\"Systems Engineering Procedia\",\"volume\":\"4 \",\"pages\":\"Pages 40-45\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2012-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.1016/j.sepro.2011.11.047\",\"citationCount\":\"7\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Systems Engineering Procedia\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S2211381911002001\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Systems Engineering Procedia","FirstCategoryId":"1085","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2211381911002001","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Analysis of mean-VaR model for financial risk control
Financial risk control is a kind of complicated system engineering. This paper studies validity of portfolio investment of the mean-VaR model under holding period condition. The model is analyzed through Lagrange multiplier method, and the portfolio weight of global minimum VaR is also given by the portfolio weight combined of minimum variance and maximum Sharpe ratio.
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