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论文类型： 会议论文

发表时间： 2008-01-01

收录刊物： CPCI-SSH

页面范围： 75-80

关键字： portfolio risk; kurtosis; mean-variance-skewness-kurtosis model

摘要： 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.