Release Time:2019-03-12  Hits:

Indexed by: Conference Paper

Date of Publication: 2008-01-01

Included Journals: CPCI-SSH

Page Number: 75-80

Key Words: portfolio risk; kurtosis; mean-variance-skewness-kurtosis model

Abstract: In order to reduce the extreme risk, we build a mean-variance-sicewness-kurtosis model which introduced kurtosis. We also use skewness to avoid general risk and VaR as risk control of the loans portfolio. The model we built controls the portfolio's risk from multi-angle and extends the classic mean-variance optimal theory.