| 一种多目标条件风险值数学模型 |
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| 引用本文： | 蒋敏,孟志青.一种多目标条件风险值数学模型[J].高校应用数学学报(A辑),2009,24(4). |
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| 作者姓名： | 蒋敏 孟志青 |
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| 作者单位： | 浙江工业大学经贸管理学院,浙江杭州,310023 |
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| 摘 要： | 研究了一种多目标条件风险值(CVaR)数学模型理论.先定义了一种多目标损失函数下的α-VaR和α-CVaR值,给出了多目标CVaR最优化模型.然后证明了多目标意义下的α-VaR和α-CVaR值的等价定理,并且给出了对于多目标损失函数的条件风险值的一致性度量性质.最后,给出了多目标CVaR模型的近似求解模型.
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| 关 键 词： | 条件风险值 多目标CVaR模型 损失函数 风险度量 |
A mathematical model of multiobjective conditional value-at-risk |
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| JIANG Min,MENG Zhi-qing.A mathematical model of multiobjective conditional value-at-risk[J].Applied Mathematics A Journal of Chinese Universities,2009,24(4). |
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| Authors: | JIANG Min MENG Zhi-qing |
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| Abstract: | This paper studies the theory of a multiobjective conditional value-at-risk (CVaR) model. The concepts of α-VaR and α-CVaR based on multiobjective loss functions are introduced first. The multiobjective CVaR optiaml model is obtained. Next, the equal theorem for α-VaR and α-CVaR is proved, and some properties of consistent measure for CVaR under multiobjective loss functions are given. Finally, an approximate model for solving multiobjective CVaR optiaml model is obtained. |
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