The deep-study of a mean-VaR model under constraints of investment chance
Qiguang An · Journal of Shandong University · 2006
Under the assumption that the rates of return of portfolio are normal random variables,a mean-VaR portfolio model including riskfree debit and credit with different riskfree rates under constraint of investment chance is established.Existence and uniqueness of the model's optimal solution are discussed.On the basis of mean-VaR model's effective border,the constraint of investment chance is introduced,and the model's effective border and the optimal solutioin are obtained.