基于展望理论的双侧矩风险度量指标构建研究  

A Research on Construction of Bilateral Moments Risk Index Based on Prospect Theory

作　　者：舒建平[1,2] 王苏生[1] 

机构地区：[1]哈尔滨工业大学深圳研究生院,广东深圳518055 [2]湘潭大学商学院,湖南湘潭411105

出　　处：《郑州航空工业管理学院学报》2010年第6期68-72,共5页Journal of Zhengzhou University of Aeronautics

基　　金：湖南省教育厅项目(07C776);湘潭大学博士博士后启动项目(06QDB23)

摘　　要：双侧矩风险理论将收益和损失同时纳入风险度量的范畴,较好地反映了投资者关于风险的实际决策心理和行为特征。在对现有双侧矩风险理论进行评述的基础上,针对现有双侧矩风险度量指标的不足,结合展望理论提出了基于标准风险测度和基于收益、损失波动性调整的双侧矩风险度量指标构建方法。Bilateral moments risk model reflects real psychology and character of investor＇ s risk Volision - making better, for its bringing gain and loss into risk measure at the same time. On basis of bilateral moments risk theory, the paper pointed out the shorts of existed bilateral moments risk indexes, then, combined with prospect theory and proposed two ideas in constructing bilateral moments risk indexes based on standard measure of risk and modification with fluctuation of gain and loss.

关 键 词：标准风险测度 收益和损失 波动性调整 双侧矩风险理论 投资 

分 类 号：F830.59[经济管理—金融学]