金融市场条件高阶矩风险与动态组合投资  

Conditional Higher Moments Risk and Dynamic Portfolio in Financial Markets

作　　者：蒋翠侠[1] 许启发[2] 张世英[1] 

机构地区：[1]天津大学管理学院,天津300072 [2]山东工商学院数学与信息科学学院,山东烟台264005

出　　处：《中国管理科学》2007年第1期27-33,共7页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(70471050)

摘　　要：针对传统组合投资理论没有考虑高阶矩风险和静态处理问题两大缺陷,提出多元GARCHSK模型用于衡量时变的高阶矩风险,基于效用函数的Taylor展开推导出带有高阶矩风险的动态组合投资策略,并利用遗传算法进行求解。实证研究表明,中国股市不仅存在高阶矩风险,而且风险具有时变特征;为防范高阶矩风险,投资者需要动态地修正他的资产配置权重。Two defects in traditional portfolio theory, without considering higher moments risk and settling problem staticly, are pointed out in the paper： To measure higher moments risk, the multivariate GARCHSK model is established. Then, based on Taylor series expansion of utility function, the dynamic portfolio model with higher moments risk is derived, and the model is solved by Genetic Algorithm. Empirical results show that not only higher moments risk exists in Chinese stock markets, but also the risk has time varying character. It is necessary for the investors to change their portfolio weights to avoide higher moments risk.

关 键 词：高阶矩风险 动态组合投资 多元GARCHSK模型 遗传算法 

分 类 号：F224.0[经济管理—国民经济]