| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1143935 | Systems Engineering Procedia | 2012 | 6 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Engineering
Control and Systems Engineering
