%0 Journal Article
%T Multiple mental account portfolio's VaR model and fund risk management based on Copula theory<br>基于Copula理论的多心理帐户组合VaR模型与基金风险管理
%A LI Ping
%A HUANG Guang-dong
%A LU Yang
%A <br>李平
%A 黄光东
%A 路阳
%J 系统工程理论与实践
%D 2011
%I 
%X We improve the VaR model based on Copula theory and Shefrin and Statman's behavior portfolio theory and multiple mental account theory,adding the subjective parameters reflecting risk manager's expectation and risk attitude,such that risk measurement and management can be built on theNew 3P-Probability,Prospect and Preference.Then we give a new approach to risk forecasting and optimizing of investment weight for fund portfolios.
%K multiple mental account
%K Copula
%K VaR
%K fund risk management<br>多心理账户
%K Copula
%K VaR
%K 基金风险管理
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=128D5ABF53EBF982CE572817B1E211BC&yid=9377ED8094509821&vid=4AD960B5AD2D111A&iid=94C357A881DFC066&sid=5EEA08EFB4616D1C&eid=1F94F38CF0FA5258&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=0&reference_num=18