期刊名称：International Journal of Computer Science and Network Security
印刷版ISSN：1738-7906
出版年度：2007
卷号：7
期号：6
页码：115-123
出版社：International Journal of Computer Science and Network Security
摘要：This paper proposes markovian models in portfolio theory and risk management. At first, we describe discrete time optimal allocation models. Then, we examine the investor��s optimal choices either when the returns are uniquely determined by their mean and variance or when they are modeled by a Markov chain. We subject these models to back-testing on out-of-sample data, in order to assess their forecasting ability. Finally, we propose some models to compute VaR and CVaR when the returns are modeled by a Markov chain.
关键词：Markov chain; Portfolio theory; VaR and CVaR models
