| 邢国东,杨善朝,官政.关于相依风险投资组合风险价值的界[J].数学年刊A辑,2021,42(1):105~114 |
| 关于相依风险投资组合风险价值的界 |
| On the Bounds of Value-at-Risk for Portfolio of Interdependent Risks |
| Received:September 28, 2017 Revised:July 14, 2020 |
| DOI：10.16205/j.cnki.cama.2021.0009 |
| 中文关键词: 同单调, Copula, 相依不确定性差, 下限序, 上限序 |
| 英文关键词:Comonotone, Copula, Dependency uncertainty spread, Lower orthant order, Upper orthan order |
| 基金项目:安徽省高校自然科学研究重点项目(No.,KJ2020A0122) |
| Author Name | Affiliation | | XING Guodong | Corresponding author. School of Mathematics and Statistics, Hefei Normal University, Hefei 230601, China
School of Mathematics and Statistics, Yulin Normal University, Yulin 537000, Guangxi, China. | | YANG Shanchao | School of Mathematics and Statistics, Guangxi Normal University, Guilin 541004, Guangxi, China. | | GUAN Zheng | School of Mathematics and Statistics, Guangxi Normal University, Guilin 541004, Guangxi, China. |
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| 中文摘要: |
| 在正相依和分组相依的假设下,风险投资组合风险价值的上、下界被分析性地得到.所得到的结果实质性地将分组独立的设定推广到分组相依的情形. |
| 英文摘要: |
| Under the assumptions of positive dependence and subgrouped dependence, the lower and upper bounds of value-at-risk for a portfolio of risks are obtained analytically.The results obtained generalize substantially subgroup-independent setting to subgroupdependent case. |
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