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《Journal of Beijing University of Aeronautics and Astronautics(Social Sciences Edition)》 2003-01
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VaR Based Optimal Portfolio Selection Strategy

SHEN Pei-long, REN Ruo-en (School of Economics and Management, Beijing University of Aeronautics and Astronautics, Beijing 100083,China)  
In this paper, on the basis of Markowitz portfolio selection theory, a new optimal portfolio selection strategy is investigated by using the VaR (Value-at-Risk) method. This strategy describes investors' preference to risk and return, and matches the maximal return and minimal risk under a given confidence level.
【Fund】: 国家自然科学基金;; 加拿大麦吉尔大学合作项目 ( 70 14 2 0 0 2 ) ;; 航空基金资助项目 ( 0 0J5 10 61)
【CateGory Index】: F830.59
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