摘要
条件风险值问题是研究信用风险最优化的一种新的模型,本文研究了一类多目标条件风险值问题等价定理,我们引入了多个损失函数在对应的置信水平下关于一个证券组合的α-VaR损失值(最小信用风险值)和α-CVaR损失值(最小信用风险值对应的条件期望损失值或条件风险价值度量)概念,为了求得α-CVaR损失值下的弱Pareto有效解,我们证明了它等价于求解另一个多目标规划问题的Pareto有效解,这样使得问题的求解变得简单.
The Conditional Value-at-Risk is a new model to study the optimal problems of the credit risk. This paper study an equality theorem on multiobjective optimization of Conditional Value-at-Risk. We introduce the definitions of a-VaR loss value and a-CVaR of multi loss function with respect to a portfolio under corresponding confidence level. In order to get Pareto weakly efficient solution under a-CVaR loss value, we prove that it equal to Pareto efficient solution of another problem of multiobjective programming, making it easy to solve.
出处
《运筹学学报》
CSCD
北大核心
2005年第1期65-69,共5页
Operations Research Transactions
基金
The project was supported by the National Natural Science Foundation of China with grant 72072021.
