• 均值-cvar模型 - 引用次数：8

  In Chapter 3, short sell are considered which require collateral, based on the document 40. The affine issue is processed into a convex programming and the mean-CVaR model with transaction costs is constructed.

  在第3章中,在文献40的基础上,考虑投资过程允许卖空,但要求有保证金,我们经过处理将仿射问题转化为凸规划问题,进而建立了带有交易费用的均值-CVaR模型。

  参考来源 - 限制卖空条件下有交易费用的CVaR投资组合问题

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