标题：The Portfolio Model with RCaR Constraint and Its Application
作者：Chen, Wei; Sun, Pingna; Jia, Shanghui
作者机构：[Chen, Wei; Sun, Pingna] Shandong Univ, Sch Econ, Jinan, Shandong, Peoples R China.
会议名称：CMSA Overall United Planning Symposium
会议日期：NOV 05-08, 2010
来源：2010 CMSA OVERALL UNITED PLANNING SYMPOSIUM (OUPS 2010)
关键词：Portfolio investment; Capital-at-Risk; Short selling; Relative; Capital-at-Risk
摘要：Under the assumption of Black-Scholes Model, the Relative Capital-at-Risk constraint is introduced, which not only make the risk metrics has a more intuitive meaning, but also avoid the troubles of selecting the constraint upper bound caused by different initial wealth. On this basis, a Mean-RCaR Model is established to further analyze the optimal strategy for constant rebalanced portfolio, short selling is allowed and short selling is not allowed respectively. Under this model, all the market parameters were allowed to change with time. This paper gives the detail solving process of this model and then shows the explicit solution of optimal strategy. The results show that under this model, the two fund separation theorem still holds. In the end, this paper gives an example to further establish the application of this model and compare the result with the Mean-variance model.