Ω min VaRβ ( x) x X T T T rx = E( x y) = x u = rp, x I = 1
R i R i f Ri Rf i
R c Rc Rf Rp Rf ρpc...(4) c p c Rc ρcp ( Rp Rf) + Rf...(5) p Rc R f c Rp p ρcp R f R c p p ρ cp r A = rd D ra r rd r > > A A D
Rp Rf Max min zeγ p = p N N Rp = Rw i i, wi = 1, wi 0 i= 1 i= 1 γ p p wi Ri Ω Var ( U ) ( ln ) t = Var St Var( Ht) = Var( lnst β ln Ft) H c Var( Ut) Var( Ht) = Var( Ut )
Ω b [1 F( x) dx MAR Ω ( MAR) = MAR [ F( x)] dx a Ω b b [1 F ( x ) dx = ( x MAR ) f ( x ) dx = E [max( x MAR,0)] MAR MAR a MAR MAR [ F( x)] dx = ( MAR x) f ( x)] dx = E[max( MAR x,0)] a
rt = ln( pt) ln( pt 1)
Max( γ ) p w min( V ar β ( w )) T T T rx = E ( w y ) = w u = r p, w I = 1 0 w 1 = 1.5 w 2 0.6 0 < w 3, w 4 < 0.4 0.6 < w 1 + w 2 < 1.0 0 < w 3 + w 4 < 0.4 4 w = 1 i = 1 i = (0.36,0.24,0.4) ω 1 ω2 ω3 ω4