组合风险与单个资产风险间的定量关系——基于一致性风险测度的视角  

Research of Quantitative Relation between Portfolio Risk and Separate Assets Risk——From Perspective of Coherent Measures of Risk

作　　者：张昇平[1] 周春阳[1] 吴冲锋[1] 

机构地区：[1]上海交通大学金融工程研究中心,上海200052

出　　处：《系统管理学报》2008年第1期15-20,共6页Journal of Systems & Management

基　　金：国家自然科学基金重点项目(70331001)

摘　　要：在一致性风险测度研究的基础上,通过构建基于多因子模型的空间,从以往对一致性风险测度次可加的定性描述,转而研究组合风险与单个资产风险之间的定量关系,为一致性风险测度理论和风险分散化的深入研究提供新的视角。最后,在风险因子服从正态分布假设下,揭示了资产之间风险相互作用的一般机理,同时论证了M-V模型最优解也是任何均值-一致性风险测度模型的最优解。Based on the definition of coherent measures of risk and through the euclid space of the multifactor model, we study the quantitative relation between the sum of the risk value for separate assets and the risk value for the portfolio which is different from the prior study in the risk subadditivity. Under the assumption that the vector of risk factor follows the normal distribution, we deduce the linear equation between the risk value for separate assets and the portfolio and claim that the optimal solution of M-V model is also the optimal solution under any coherent measure of risk. This paper provides a method to study the,risk, measured by coherent measures, reciprocity mechanism among separate assets.

关 键 词：一致性风险测度 风险次可加 定量关系 风险分散化系数 

分 类 号：F830[经济管理—金融学]