资产组合

基于VAR风险控制的LOG-最优资产组合模型

The Optimal Portfolio Model with Risk Control of Value-at-Risk

1986年：JP摩根（美国养老基金部门）资产组合经理

1986 : Portfolio manager ( US pension funds ), JP Morgan

是市场组合中所有资产组合的，rm，is，the，expected，return，on，the，market，portfolio，预期收益率。

Rm which is the portfolio of all assets .

基于多元skst-Copula函数的资产组合VaR计算

VaR Calculation of Portfolio Based on Multivariate Skewed Student t Copula Function

基于MonteCarlo模拟和VaR约束的银行资产组合优化模型

A Portfolio Optimization Model for Banks Based on Monte Carlo Simulation and the Constraint of VaR Technology

CreditMetrics作为计算资产组合信用风险的模型，是一个联系信用和证券市场的简单、动态的架构。

Credit Metrics , a model of credit risk calculation , is a simple and dynamic frame , which connects the credit market with bond market .

基于Copula的资产组合选择建模研究

Model building for asset combination choice on Copula

基于Black-Scholes模型的资产组合

Optimal Portfolio Selection Based on Black-Scholes Model Theory

IRB法下信贷资产组合的风险因子度量研究

On Measuring Risk Factors of Loan Portfolio with IRB Approaches

美国SDG公司的资产组合优化战略及管理

Capital optimizing strategy and management of American SDG company

第三章转入分析现代资产组合理论的理论前提&有效市场理论（EMH）。

Chapter 3 analyzes the premise of MPT , which is the Efficient Market Hypothesis ( EMH ) .

从而得出结论，即通过利用VaR约束下的资产组合模型，航运公司的风险得到可以有效控制，并且能够获得较高的平均收益。

And the conclusion is that by using the VaR Constrained Portfolio Model , shipping companies can get the freight risks controlled , and can also make favorable profits .

如今，一个没有债务负担的oz甚至也许能扭转局面，重新建立自己的资产组合。

Now , a debt-free oz might even be able to turn the tables to rebuild its portfolio .

美林：Getty当时和现在一直是这个行业的领头羊，拥有极为出色的资产组合。

Merrill : Getty was then and still is a leader in its industry with a tremendous collection of assets .

据了解该资产组合第一手资料的几位人士称，如今，这些CDO的市场价值估计至少有450亿美元。

Now , the estimated market value of the CDOs is at least $ 45bn , according to several people with direct knowledge of the portfolio .

1952年，Markowitz，Harry在《资产组合选择》一文中，第一次从风险资产的收益率与风险之间的关系出发，建立了均值&方差模型，为资产定价理论奠定了坚实的基础。

In 1952 , in the " Portfolio Selection ", Markowitz , Harry established a mean - variance model from the relationship between risk and profit of risk assets for the first time .

在险价值（VaR）的出现使得金融资产组合在一定时期内最大可能损失的定量化成为可能，到目前，在险价值已成为金融风险管理系统的奠基石。

The emergence of Value at Risk ( VaR ) enables us to quantify the maximum loss of financial portfolios in certain period . And it has become the fundation of financial risk measurement system up to now .

本文第二章总结和评估VaR技术在测度包含期权等凸性资产组合市场风险所需经济资本方面的优势，并通过分析财险公司的信用风险类型，提出再保险业务信用风险测度模型。

Chapter 2 discusses the advantages of using VaR to measure risks inherited in convex portfolios with options , then introduces reinsurance business credit risk model though analyzing the different types of risks in P & C insurance companies .

压力测试关注资产组合收益的厚尾特征分布，能度量在极端情况下资产组合损失，弥补了传统风险管理工具VaR的缺点，因而成为商业银行风险管理的重要工具。

Emphasizing on the fat tail distribution of the asset portfolio , stress test can evaluate the loss of the asset portfolio in the extreme circumstances which makes up the disadvantage of VaR , the traditional risk management tool .

检方计划播放拉贾那纳姆与他在帆船的两位员工的电话录音：交易员伊恩霍罗威茨（ianhorowitz）和新加坡资产组合经理刘清发（davidlau）。

Prosecutors plan to play recordings of phone calls between Mr Rajaratnam and two of his galleon employees : Ian Horowitz , a trader , and David Lau , a Singapore-based portfolio manager .

从资产组合的VaR小于单个金融产品的VaR的结果看，VaR技术在股市风险测量上符合现代投资组合理论的基本思想。

From the results that the VaR value in financial asset portfolio less than the individual financial product , it indicates that the VaR technique in measuring stock market 's risk accords with the basic idea of modern portfolio theory .

选择资产组合的EP-MV模型及最优解的解析表示

EP-MV Model for Selection Portfolio and Analytic Expressions of Optimal Solutions

通过对风险权重函数的推导，可以揭示内部评级法在资产组合层面处理信用风险和运用VaR确定监管资本要求的基本思想。

This paper deeply analyzed internal ratings-based approach , and exposed its two basic assumptions that include taking asset portfolios into account about dealing with credit risk and utilizing VaR for calculating capital requirement by the deduction of risk weight function .

基于Copula-GARCH-EVT的资产组合选择模型及其混合遗传算法

A Portfolio Selection Model on Copula-GARCH-EVT Based and Its Hybrid Genetic Algorithm

正如野村证券（Nomura）所指出的，积累这种无法利用的现金，相当于对银行业征税，阻止中国各银行将自己资产组合中的更大份额配置到收益率更高的投资。

As Nomura notes , this accumulation of unusable cash amounts to a tax on the sector , preventing Chinese banks from allocating a larger share of their portfolios to higher yielding investments .

Markowitz指出，一个合意的资产组合决不仅仅是一系列优秀的股票债券的罗列，而是能够在各种可能的情况下为投资者提供保护和机遇的平衡的整体。

Markowitz pointed out that a desirable portfolio is never a list of first-class stocks and bonds , but a balanced integer which can provides protection and opportunities for investors under all circumstances .

针对非正态分布条件下VaR非凸性和分布函数不连续性导致资产组合选择优化计算复杂、不精确的难题，设计了基于单纯形和传统遗传算法的混合遗传算法。

Then according to the fact VaR 's no convexity and the discontinuity in distribution , which make the computation of the portfolio selection optimization very complex and inaccurate , the article designed a hybrid genetic quantitative algorithm based on Nelder-Mead simplex and traditional genetic algorithms .

笔者考察和研究了运用现代资产组合理论进行风险分散化贷款组合管理的KMV模型和以金融创新&信用衍生品进行对冲组合管理的理论和实践。

This article investigates and researches the KMV model which puts the Modern Portfolio Management Theory into credit portfolio management and the theory and practice in which the credit derivatives are used to hedge credit risk .

对本质上是一家大型国内银行的lloyds来说，其战略挑战简单明了：清理hbos原有资产组合中的问题，并迅速有效的整合分支网络。

At Lloyds , essentially a large domestic bank , the strategic challenge is straightforward : clean up the mess in the old HBOS portfolio , and rapidly and effectively integrate branch networks .

由于它的许多美国公司都努力通过全球化获益，baird在中国建立了一个团队，帮助它资产组合中的公司设计从亚洲“采购策略”。

Because many of its US companies were trying to reap the benefits of globalisation , Baird set up a team in China to help portfolio companies devise " sourcing strategies " from Asia .