与TSD准则一致的组合证券投资分析  

Portfolio Analysis with The Third Degree Stochastic Dominance

作　　者：万上海[1] 

机构地区：[1]安徽工程科技学院应用数理系,安徽芜湖241000

出　　处：《数学的实践与认识》2010年第16期1-7,共7页Mathematics in Practice and Theory

基　　金：安徽省教育厅自然科学资助(2005KJ067);教育部科学技术研究重点资助项目(205073)

摘　　要：基于预先给定的目标收益率,利用投资者对低于目标收益率的风险损失和高于目标收益率的风险报酬之间的权衡,给出了一些非对称风险度量模型,特别其中一种风险度量是低于参考点的方差和高于参考点的方差的加权和,它利用二阶上偏矩来修正二阶下偏矩,进一步建立了在该非对称风险度量下的组合投资优化模型,并证明了该模型在三阶随机占优的意义下是有效的.此外,还给出了其它3个模型与三阶随机占优准则是否一致的结论,并对所给出的几个组合证券投资模型的求解方法及其应用进行了分析.以上研究和分析为投资者在选择投资模型时避免盲目性、任意性提供了有益的决策参考.On the basis of the given target-return, some asymmetric risk measure models are given by using the weight of investors between the loss of risk and the reward of risk, especially the one kind of these is a weighted sum of below target semi-variance and above target semivariance , where downside risk is supplemented with the upper partial moment . It is set up that the portfolio optimization model with this new measure and proved that the consistency of the proposed optimal portfolio model with the third degree stochastic dominance. It is given that the relational conclusion about consistency or non-consistency of other three models with TSD and that the methods of getting solutions and analyses in practical application of the asymmetric risk measure models. The study and analyses above provides the investors with a helpful decision -making reference facing portfolio selection far from an arbitrary character.

关 键 词：非对称风险度量 随机占优 组合投资 

分 类 号：O242.1[理学—计算数学]