基于DEA模型的ESG投资组合策略研究

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[23] 刘志东, 陈晓静. Levy Tempered Stable 金融资产收益分布及其 CF-CGMM 估计方法研究[J]. 中国管理科学, 2009, 17(3): 18-26.
[24] 于天军, 田金信, 汪洋. 基于修正 Sharpe 指数的我国开放式基金业绩评价研究[J]. 中国软科学, 2010(7): 175-183.
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[27] CHEN Y T, HO K Y, TZENG L Y. Riskiness-minimizing spot-futures hedge ratio[J]. Journalof Banking and Finance, 2014, 40(C): 154-164.
[28] 曾燕, 黄金波. 基于均值-AS 模型的资产配置[J]. 管理科学学报, 2016, 19(2): 95-108.
[29] JP Morgan. Risk Metrics-Technical Document[R]. New York: Morgan Guaranty Trust Com pany Global Research, 1994.
[30] ALLEN M. Building a Role Model[J]. Risk, 1994, 7(9): 73-80.
[31] BEDER T S. VAR: Seductive but Dangerous[J]. Financial Analysts Journal, 1995, 51(5):12-24.
[32] DOWD K. Beyond Value at Risk: The New Science of Risk Management[M]. Chichester:Wiley, 1998.
[33] GLASSERMAN P, HEIDELBERGER P, SHAHABUDDIN P. Efficient Monte Carlo Methodsfor Value-at-Risk[R]. IBM Thomas J. Watson Research Division, 2000.
[34] ALEXANDER G J, BAPTISTA A M. Economic Implications of Using a Mean-VaR Modelfor Portfolio Selection: A Comparison with Mean-Variance Analysis[J]. Journal of EconomicDynamics and Control, 2002, 26(7-8): 1159-1193.
[35] ALEXANDER G J, BAPTISTA A M. Portfolio performance evaluation using value at risk[J].The Journal of Portfolio Management, 2003, 29(4): 93-102.
[36] 郑文通. 金融风险管理的 VAR 方法及其应用[J]. 国际金融研究, 1997, 1997(09): 58-62.
[37] 牛昂. VALUE AT RISK: 银行风险管理的新方法[J]. 国际金融研究, 1997, 1997(04): 61-65.
[38] 叶青. 基于 GARCH 和半参数法的 VaR 模型及其在中国股市风险分析中的应用[J]. 统计研究, 2000, 2000(12): 25-29.
[39] 安起光, 王厚杰. 引入无风险证券的均值–VaR 投资组合模型研究[J]. 中国管理科学, 2006,2006(02): 12-15.
[19] ARTZNER P, DELBAEN F, EBER J M, et al. Thinking Coherently[J]. Risk, 1997, 10: 68-71.
[20] ARTZNER P, DELBAEN F, EBER J M, et al. Coherent Measures of Risk[J]. MathematicalFinance, 1999, 9(3): 203-228.
[21] SHARPE W F. The Sharpe Ratio[J]. The Journal of Portfolio Management, 1994, 21(1): 49-58.
[22] 史敏, 汪寿阳, 徐山鹰. 修正的 Sharpe 指数及其在基金业绩评价中的应用[J]. 系统工程理论与实践, 2006, 26(7): 1-10.
[23] 刘志东, 陈晓静. Levy Tempered Stable 金融资产收益分布及其 CF-CGMM 估计方法研究[J]. 中国管理科学, 2009, 17(3): 18-26.
[24] 于天军, 田金信, 汪洋. 基于修正 Sharpe 指数的我国开放式基金业绩评价研究[J]. 中国软科学, 2010(7): 175-183.
[25] SORTINO F A, PRICE L. Performance measurement in a downside risk framework[J]. TheJournal of Investing, 1994, 3(3): 59-64.
[26] HOMM U, PIGORSCH C. Beyond the Sharpe ratio: An application of the Aumann-Serranoindex to performance measurement[J]. Journal of Banking and Finance, 2012, 36(8): 2274-2284.
[27] CHEN Y T, HO K Y, TZENG L Y. Riskiness-minimizing spot-futures hedge ratio[J]. Journalof Banking and Finance, 2014, 40(C): 154-164.
[28] 曾燕, 黄金波. 基于均值-AS 模型的资产配置[J]. 管理科学学报, 2016, 19(2): 95-108.
[29] JP Morgan. Risk Metrics-Technical Document[R]. New York: Morgan Guaranty Trust Com pany Global Research, 1994.
[30] ALLEN M. Building a Role Model[J]. Risk, 1994, 7(9): 73-80.
[31] BEDER T S. VAR: Seductive but Dangerous[J]. Financial Analysts Journal, 1995, 51(5):12-24.
[32] DOWD K. Beyond Value at Risk: The New Science of Risk Management[M]. Chichester:Wiley, 1998.
[33] GLASSERMAN P, HEIDELBERGER P, SHAHABUDDIN P. Efficient Monte Carlo Methodsfor Value-at-Risk[R]. IBM Thomas J. Watson Research Division, 2000.
[34] ALEXANDER G J, BAPTISTA A M. Economic Implications of Using a Mean-VaR Modelfor Portfolio Selection: A Comparison with Mean-Variance Analysis[J]. Journal of EconomicDynamics and Control, 2002, 26(7-8): 1159-1193.
[35] ALEXANDER G J, BAPTISTA A M. Portfolio performance evaluation using value at risk[J].The Journal of Portfolio Management, 2003, 29(4): 93-102.
[36] 郑文通. 金融风险管理的 VAR 方法及其应用[J]. 国际金融研究, 1997, 1997(09): 58-62.
[37] 牛昂. VALUE AT RISK: 银行风险管理的新方法[J]. 国际金融研究, 1997, 1997(04): 61-65.
[38] 叶青. 基于 GARCH 和半参数法的 VaR 模型及其在中国股市风险分析中的应用[J]. 统计研究, 2000, 2000(12): 25-29.
[39] 安起光, 王厚杰. 引入无风险证券的均值–VaR 投资组合模型研究[J]. 中国管理科学, 2006,2006(02): 12-15.
[19] ARTZNER P, DELBAEN F, EBER J M, et al. Thinking Coherently[J]. Risk, 1997, 10: 68-71.
[20] ARTZNER P, DELBAEN F, EBER J M, et al. Coherent Measures of Risk[J]. MathematicalFinance, 1999, 9(3): 203-228.
[21] SHARPE W F. The Sharpe Ratio[J]. The Journal of Portfolio Management, 1994, 21(1): 49-58.
[22] 史敏, 汪寿阳, 徐山鹰. 修正的 Sharpe 指数及其在基金业绩评价中的应用[J]. 系统工程理论与实践, 2006, 26(7): 1-10.
[23] 刘志东, 陈晓静. Levy Tempered Stable 金融资产收益分布及其 CF-CGMM 估计方法研究[J]. 中国管理科学, 2009, 17(3): 18-26.
[24] 于天军, 田金信, 汪洋. 基于修正 Sharpe 指数的我国开放式基金业绩评价研究[J]. 中国软科学, 2010(7): 175-183.
[25] SORTINO F A, PRICE L. Performance measurement in a downside risk framework[J]. TheJournal of Investing, 1994, 3(3): 59-64.
[26] HOMM U, PIGORSCH C. Beyond the Sharpe ratio: An application of the Aumann-Serranoindex to performance measurement[J]. Journal of Banking and Finance, 2012, 36(8): 2274-2284.
[27] CHEN Y T, HO K Y, TZENG L Y. Riskiness-minimizing spot-futures hedge ratio[J]. Journalof Banking and Finance, 2014, 40(C): 154-164.
[28] 曾燕, 黄金波. 基于均值-AS 模型的资产配置[J]. 管理科学学报, 2016, 19(2): 95-108.
[29] JP Morgan. Risk Metrics-Technical Document[R]. New York: Morgan Guaranty Trust Com pany Global Research, 1994.
[30] ALLEN M. Building a Role Model[J]. Risk, 1994, 7(9): 73-80.
[31] BEDER T S. VAR: Seductive but Dangerous[J]. Financial Analysts Journal, 1995, 51(5):12-24.
[32] DOWD K. Beyond Value at Risk: The New Science of Risk Management[M]. Chichester:Wiley, 1998.
[33] GLASSERMAN P, HEIDELBERGER P, SHAHABUDDIN P. Efficient Monte Carlo Methodsfor Value-at-Risk[R]. IBM Thomas J. Watson Research Division, 2000.
[34] ALEXANDER G J, BAPTISTA A M. Economic Implications of Using a Mean-VaR Modelfor Portfolio Selection: A Comparison with Mean-Variance Analysis[J]. Journal of EconomicDynamics and Control, 2002, 26(7-8): 1159-1193.
[35] ALEXANDER G J, BAPTISTA A M. Portfolio performance evaluation using value at risk[J].The Journal of Portfolio Management, 2003, 29(4): 93-102.
[36] 郑文通. 金融风险管理的 VAR 方法及其应用[J]. 国际金融研究, 1997, 1997(09): 58-62.
[37] 牛昂. VALUE AT RISK: 银行风险管理的新方法[J]. 国际金融研究, 1997, 1997(04): 61-65.
[38] 叶青. 基于 GARCH 和半参数法的 VaR 模型及其在中国股市风险分析中的应用[J]. 统计研究, 2000, 2000(12): 25-29.
[39] 安起光, 王厚杰. 引入无风险证券的均值–VaR 投资组合模型研究[J]. 中国管理科学, 2006,2006(02): 12-15.
[40] 景乃权, 陈姝. VAR 模型及其在投资组合中的应用[J]. 财贸经济, 2003, 2003(02): 68-71+96.
[41] 屠新曙, 王春峰. 最佳均值-VAR 投资组合问题的研究[J]. 湘潭大学自然科学学报, 2002,2002(02): 13-17.
[42] 屠新曙. 证券的收益和风险度量方法与证券组合的优化模型研究[D]. 天津大学, 2003.
[43] 黄金波, 李仲飞, 丁杰. 基于非参数核估计方法的均值-VaR 模型[J]. 中国管理科学, 2017,25(05): 1-10.
[44] 黄金波, 李仲飞, 姚海祥. 基于 CVaR 两步核估计量的投资组合管理[J]. 管理科学学报,2016, 19(05): 114-126.
[45] ROCKAFELLAR R T, URYASEV S. Optimization of conditional value-at-risk[J]. Journal ofRisk, 2000, 2: 21-42.
[46] ACERBI C, TASCHE D. On the coherence of expected shortfall[J]. Journal of Banking andFinance, 2002, 26(7): 1487-1503.
[47] KROKHMAL P, PALMQUIST J, URYASEV S. Portfolio optimization with conditional value at-risk objective and constraints[J]. Journal of Risk, 2002, 4: 43-68.
[48] ANDERSSON F, MAUSSER H, ROSEN D, et al. Credit risk optimization with conditionalvalue-at-risk criterion[J]. Mathematical Programming, 2001, 89(2): 273-291.
[49] 陈金龙, 张维. CVaR 与投资组合优化统一模型[J]. 系统工程理论与实践, 2002(01): 68-71.
[50] 林辉, 何建敏. VaR 在投资组合应用中存在的缺陷与 CVaR 模型[J]. 财贸经济, 2003(12):46-49+93.
[51] 王建华, 李楚霖. 度量与控制金融风险的新方法[J]. 武汉理工大学学报 (信息与管理工程版), 2002(02): 60-63+83.
[52] 岳瑞峰, 李振东, 杨晓萍. 风险管理的 CVaR 方法及其简化模型[J]. 河北省学院学报, 2003,20(3): 134-138.
[53] 刘小茂, 李楚霖, 王建华. 风险资产组合的均值-CVaR 有效前沿 Ⅰ[J]. 管理工程学报, 2003(01): 29-33.
[54] 何琳洁. 信用资产组合一致性风险价值模型及其实证研究[D]. 湖南大学, 2004.
[55] 高全胜. 金融风险计量理论前沿与应用[J]. 国际金融研究, 2004(09): 71-78.
[56] 刘晓星. 基于 CVaR 的投资组合优化模型研究[J]. 商业研究, 2006(14): 15-18.
[57] 黄金波, 李仲飞, 丁杰. 基于 CVaR 的基金业绩测度研究[J]. 管理评论, 2018, 30(04): 20-32.
[58] CHARNES A, COOPER W W, RHODES E. Measuring the efficiency of decision making units[J]. European Journal of Operational Research, 1978, 2(6): 429-444.
[59] BANKER R D, CHARNES A, COOPER W W. Some models for estimating technical and scaleinefficiencies in data envelopment analysis[J]. Management Science, 1984, 30(9): 1078-1092.
[60] FARE R, GROSSKOPF S. Intertemporal Production Frontiers: With Dynamic DEA[J]. Journalof the Operational Research Society, 1997, 48(6): 656-666.
[61] FARE R, GROSSKOPF S. Network DEA[J]. Socio-Economic Planning Sciences, 2000, 34(1):35-49.
[40] 景乃权, 陈姝. VAR 模型及其在投资组合中的应用[J]. 财贸经济, 2003, 2003(02): 68-71+96.
[41] 屠新曙, 王春峰. 最佳均值-VAR 投资组合问题的研究[J]. 湘潭大学自然科学学报, 2002,2002(02): 13-17.
[42] 屠新曙. 证券的收益和风险度量方法与证券组合的优化模型研究[D]. 天津大学, 2003.
[43] 黄金波, 李仲飞, 丁杰. 基于非参数核估计方法的均值-VaR 模型[J]. 中国管理科学, 2017,25(05): 1-10.
[44] 黄金波, 李仲飞, 姚海祥. 基于 CVaR 两步核估计量的投资组合管理[J]. 管理科学学报,2016, 19(05): 114-126.
[45] ROCKAFELLAR R T, URYASEV S. Optimization of conditional value-at-risk[J]. Journal ofRisk, 2000, 2: 21-42.
[46] ACERBI C, TASCHE D. On the coherence of expected shortfall[J]. Journal of Banking andFinance, 2002, 26(7): 1487-1503.
[47] KROKHMAL P, PALMQUIST J, URYASEV S. Portfolio optimization with conditional value at-risk objective and constraints[J]. Journal of Risk, 2002, 4: 43-68.
[48] ANDERSSON F, MAUSSER H, ROSEN D, et al. Credit risk optimization with conditionalvalue-at-risk criterion[J]. Mathematical Programming, 2001, 89(2): 273-291.
[49] 陈金龙, 张维. CVaR 与投资组合优化统一模型[J]. 系统工程理论与实践, 2002(01): 68-71.
[50] 林辉, 何建敏. VaR 在投资组合应用中存在的缺陷与 CVaR 模型[J]. 财贸经济, 2003(12):46-49+93.
[51] 王建华, 李楚霖. 度量与控制金融风险的新方法[J]. 武汉理工大学学报 (信息与管理工程版), 2002(02): 60-63+83.
[52] 岳瑞峰, 李振东, 杨晓萍. 风险管理的 CVaR 方法及其简化模型[J]. 河北省学院学报, 2003,20(3): 134-138.
[53] 刘小茂, 李楚霖, 王建华. 风险资产组合的均值-CVaR 有效前沿 Ⅰ[J]. 管理工程学报, 2003(01): 29-33.
[54] 何琳洁. 信用资产组合一致性风险价值模型及其实证研究[D]. 湖南大学, 2004.
[55] 高全胜. 金融风险计量理论前沿与应用[J]. 国际金融研究, 2004(09): 71-78.
[56] 刘晓星. 基于 CVaR 的投资组合优化模型研究[J]. 商业研究, 2006(14): 15-18.
[57] 黄金波, 李仲飞, 丁杰. 基于 CVaR 的基金业绩测度研究[J]. 管理评论, 2018, 30(04): 20-32.
[58] CHARNES A, COOPER W W, RHODES E. Measuring the efficiency of decision making units[J]. European Journal of Operational Research, 1978, 2(6): 429-444.
[59] BANKER R D, CHARNES A, COOPER W W. Some models for estimating technical and scaleinefficiencies in data envelopment analysis[J]. Management Science, 1984, 30(9): 1078-1092.
[60] FARE R, GROSSKOPF S. Intertemporal Production Frontiers: With Dynamic DEA[J]. Journalof the Operational Research Society, 1997, 48(6): 656-666.
[61] FARE R, GROSSKOPF S. Network DEA[J]. Socio-Economic Planning Sciences, 2000, 34(1):35-49.
[40] 景乃权, 陈姝. VAR 模型及其在投资组合中的应用[J]. 财贸经济, 2003, 2003(02): 68-71+96.
[41] 屠新曙, 王春峰. 最佳均值-VAR 投资组合问题的研究[J]. 湘潭大学自然科学学报, 2002,2002(02): 13-17.
[42] 屠新曙. 证券的收益和风险度量方法与证券组合的优化模型研究[D]. 天津大学, 2003.
[43] 黄金波, 李仲飞, 丁杰. 基于非参数核估计方法的均值-VaR 模型[J]. 中国管理科学, 2017,25(05): 1-10.
[44] 黄金波, 李仲飞, 姚海祥. 基于 CVaR 两步核估计量的投资组合管理[J]. 管理科学学报,2016, 19(05): 114-126.
[45] ROCKAFELLAR R T, URYASEV S. Optimization of conditional value-at-risk[J]. Journal ofRisk, 2000, 2: 21-42.
[46] ACERBI C, TASCHE D. On the coherence of expected shortfall[J]. Journal of Banking andFinance, 2002, 26(7): 1487-1503.
[47] KROKHMAL P, PALMQUIST J, URYASEV S. Portfolio optimization with conditional value at-risk objective and constraints[J]. Journal of Risk, 2002, 4: 43-68.
[48] ANDERSSON F, MAUSSER H, ROSEN D, et al. Credit risk optimization with conditionalvalue-at-risk criterion[J]. Mathematical Programming, 2001, 89(2): 273-291.
[49] 陈金龙, 张维. CVaR 与投资组合优化统一模型[J]. 系统工程理论与实践, 2002(01): 68-71.
[50] 林辉, 何建敏. VaR 在投资组合应用中存在的缺陷与 CVaR 模型[J]. 财贸经济, 2003(12):46-49+93.
[51] 王建华, 李楚霖. 度量与控制金融风险的新方法[J]. 武汉理工大学学报 (信息与管理工程版), 2002(02): 60-63+83.
[52] 岳瑞峰, 李振东, 杨晓萍. 风险管理的 CVaR 方法及其简化模型[J]. 河北省学院学报, 2003,20(3): 134-138.
[53] 刘小茂, 李楚霖, 王建华. 风险资产组合的均值-CVaR 有效前沿 Ⅰ[J]. 管理工程学报, 2003(01): 29-33.
[54] 何琳洁. 信用资产组合一致性风险价值模型及其实证研究[D]. 湖南大学, 2004.
[55] 高全胜. 金融风险计量理论前沿与应用[J]. 国际金融研究, 2004(09): 71-78.
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