Different Mean-CVaR Models in Various Situations and its Effective Boundary
Journal Title: International Journal of Innovation in Science and Mathematics - Year 2018, Vol 6, Issue 6
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.
Authors and Affiliations
Xinyu Ye, et al.
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