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个人信息Personal Information
副教授
硕士生导师
性别：男
毕业院校：大连理工大学
学位：博士
所在单位：金融与会计研究所
办公地点：经济管理学院D462室
联系方式：+86 411 84708283
电子邮箱：whaowen@dlut.edu.cn
扫描关注
Optimal model of loan portfolio based on the higher central-moment constraints
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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.