%0 Journal Article
%T Sensitivity Analysis of Conditional Value at Risk<br>资产组合的CVaR风险的敏感度分析
%A Liu Xiaomao Li Chulin
%A <br>刘小茂
%A 李楚霖
%J 数学物理学报(A辑)
%D 2004
%I 
%X This paper gives the Conditional Value at Risk (CVaR) of portfolio under the normality and t-distribution respectively, and analyzes the sensitivity of CVaR with respect to portfolio allocation. The economic implications are also discussed.
%K Risk management
%K Conditional value at risk
%K Portfolio
%K Sensitivity<br>风险管理
%K 条件风险价值
%K 资产组合
%K 敏感度分析
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=6E709DC38FA1D09A4B578DD0906875B5B44D4D294832BB8E&cid=37F46C35E03B4B86&jid=4DB553CDB5F521D8C921082E5C95EC80&aid=7153A9F0431CC373&yid=D0E58B75BFD8E51C&vid=B91E8C6D6FE990DB&iid=E158A972A605785F&sid=D98387EFB283C5E0&eid=A6683C8C0EB9BCA7&journal_id=1003-3998&journal_name=数学物理学报(A辑)&referenced_num=6&reference_num=16