تجزیه و تحلیل مدل ارزش در معرض ریسک متوسط برای کنترل ریسک مالی

Financial risk control is a kind of complicated system engineering. This paper studies validity of portfolio investment of the mean-VaR model under holding period condition. The model is analyzed through Lagrange multiplier method, and the portfolio weight of global minimum VaR is also given by the portfolio weight combined of minimum variance and maximum Sharpe ratio.