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- W2382014826 abstract "This paper uses CVaR by replacing variance or VaR to measures the risk and studies the utility maximization model about mean and CVaR.First we examine the feature of indifference curve for the concave utility function and the properties of the efficient frontier of the Mean-CVaR model,then obtain existence conditions and characterizations of the optimal solutions to the utility maximization model.Further we give a solution method and a numerical algorithm for the optional solution,and investigate the economic implications.Finally,a numerical example using the real data of Chinese stock market demonstrates our results and application." @default.
- W2382014826 created "2016-06-24" @default.
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- W2382014826 date "2010-01-01" @default.
- W2382014826 modified "2023-09-27" @default.
- W2382014826 title "Study of Utility Maximization Model based on Mean and CVaR" @default.
- W2382014826 hasPublicationYear "2010" @default.
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