证券风险度量理论方法的评述  

Assessment of Security Risk Measurement Theories and Methods and Future Research

作　　者：舒建平[1] 应松宝[1] 黄建宏[2] 

机构地区：[1]西南交通大学经济管理学院,成都610031 [2]海南大学旅游学院,海口570228

出　　处：《系统工程理论方法应用》2006年第4期305-311,317,共8页Systems Engineering Theory·Methodology·Applications

基　　金：国家自然科学基金资助项目(70171054)

摘　　要：对现有的风险度量理论与方法进行了简单的评述,指出它们的优点与不足,并进一步提出了两个风险度量的新观点:首先,上(正)偏差对投资者来说具有正效应,对风险具有负面影响,也应该纳入风险度量的范畴,由此提出了风险度量的组合偏差模型;其次,风险度量与投资者所(拟)选的交易策略有关。First, we give a signle assessment of existing risk measurement theories and methods, and point out their good qualities and weak points. Then propose two new points about risk measurement. first, the upper deviation has positive effect to investors and negative effect to risk, and must be included in risk meausrement, which leads to compounded deviation model of risk meausrement; in the next, risk measurement relates to the transaction strategies that investor selected or selecting.

关 键 词：风险度量 不确定性风险理论 下方风险理论 组合偏差模型 交易策略 

分 类 号：F830.9[经济管理—金融学]