A new risk measure and its application in portfolio optimization: The SPP-CVaR approach
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- 作者：Liu Bin liubin730020@qq.com" class="auth_mail" title="E-mail the corresponding author
- 刊名：Economic Modelling
- 出版年：2015
- 出版时间：December 2015
- 年：2015
- 卷：51
- 期：Complete
- 页码：383-390
- 全文大小：771 K
文摘
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Put forward the SPP concept and give a conceptual model.
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A SPP–CVaR model on uncertain exit time is developed.
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Using data from China's stock market to construct arbitrage portfolio by SPP–CVaR method.
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Results indicate that SPP–CVaR method performs better than traditional method.