mean-variance criterion 中文意思是什麼
mean-variance criterion
解釋
均方差判據-
Secondly, this thesis evaluates some main theories and method about market risk measurement. such as mean - variance criterion of markowitz and risk decentralization principal, single - factor model, multifactor model, down - risk model, black - scholes model and var model based on the calculation of loss. it also discusses the suitable conditions and defects of every theory and method, and think that var is a more perfect method for risk measurement by comparison
其次,評價了有關市場風險度量的一些主要理論和方法,如markowitz的均值?方差準則和風險分散原則、 capm模型和風險的市場因素模型、單因素模型、多因素模型、 downside - risk 、期權定價理論和現代基於損失計量風險的var等風險度量理論,並討論了各種風險度量方法的具體適用條件及相應的缺陷。
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