以两目标决策模型为基础,在提出凸性是残余风险测度的自然性质的条件下,将经济资本分配解释为实现公司利润最大化目标及风险残余最小化目标下的资本分配结果;接着在非严格增和不连续边际分布条件下给出了基于两目标分层模型的经济资本分配的唯一次优解;最后给出了资本约束条件下的两目标决策优化的业务规模上界。 Based on the two-objective decision-making model, under the condition that the convexity is the natural property of the residual risk measure, the economic capital allocation is interpreted as the capital allocation result under the goal of maximizing the company’s profit and minimizing the risk residual. Then, Under the condition of strictly increasing and discontinuous marginal distribution, the only suboptimal solution of economic capital allocation based on two-objective stratification model is given. Finally, the upper bound of the business scale of two-objective decision optimization under capital constraints is given.