重尾分布下的期望收益风险度量方法  

Risk Measure Method Expect Return under Heavy-Tail Distribution

作　　者：吴庆晓[1] 刘海龙[1] 许友传[1] 

机构地区：[1]上海交通大学安泰经济与管理学院,上海200052

出　　处：《上海交通大学学报》2009年第4期521-525,共5页Journal of Shanghai Jiaotong University

基　　金：国家自然科学基金资助项目(70471025)

摘　　要：采用一种基于投资者期望收益的风险度量方法,并给出该风险度量在Laplace分布、混合正态分布、T分布等具有重尾特征分布下的表达式及若干性质.由于这些分布能更好地拟合金融收益时间序列数据,故给出这种风险度量在重尾分布下的性质无疑具有一定的理论和现实意义.Traditional risk measures based on variance and VaR do not consider the target return of investors, this is not consistent to decision-making behavior of investors who trade off the investment return and risk when they invest. This paper adopted a risk measure based on the target return of investor. The expressions and properties of the risk measure on Laplace distribution, mixed normal distribution and T distribution were given. Because those distributions can depict the heavy-tail properties distribution of finance data more accurately, it certainly has some theoretic and practical significance.

关 键 词：期望收益 风险度量 重尾分布 投资选择 

分 类 号：F830.2[经济管理—金融学]