| 基于单边矩组合的新风险度量法 |
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| 引用本文： | 方成.基于单边矩组合的新风险度量法[J].滨州学院学报,2008,24(3). |
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| 作者姓名： | 方成 |
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| 作者单位： | 浙江财经学院,数学与统计学院,浙江,杭州,310018 |
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| 摘 要： | 基于现有收益分布矩组合的风险度量,提出了一类新的基于随机收益单边矩组合的风险度量GCBPM,它克服了已有风险度量模型适用范围有限、忽略各资产间的相关性和无法解释"胖尾"现象等不足.利用所提出的新型风险度量建立了投资组合模型,并基于中国股票市场数据对其进行了实证研究.通过计算新度量投资组合的有效边沿及其收益—风险分析,将所得结果与LPM和GCLPM的度量模型进行比较,表明新度量能更好地进行分散化投资和降低投资风险.
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| 关 键 词： | LPM GCLPM风险度量 GCBPM风险度量 投资组合模型 |
A New Class of Risk Measure Based on the Combination of Unilateral Moments |
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| FANG Cheng.A New Class of Risk Measure Based on the Combination of Unilateral Moments[J].Journal of Binzhou University,2008,24(3). |
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| Authors: | FANG Cheng |
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| Abstract: | On the basis of typical moment-based risk measures,we originally propose a new class of GCBPM risk measure by combining unilateral moments of the random return distribution.The new risk measure overcomes the limited application range,neglect of the correlation of assets and the incapability of interpreting the "fat tail" phenomena of existing risk measures.Based on the proposed new risk measure,we establish a new portfolio selection model and apply it to the Chinese stock market.By computing the efficient frontiers and carrying out the return-risk analysis,discussing the optimal portfolio composition,and comparing results with those of LPM and GCLPM,it is demonstrated that our new risk measure can better diversify the investment and reduce the investment risk. |
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| Keywords: | LPM GCLPM risk measure GCBPM risk measure portfolio selection model |
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