采用ES测度风险时的金融资产定价模型  

An asset pricing model with an ES risk measurement

作　　者：张一喆[1] 安实[1] 徐照宇[1] 

机构地区：[1]哈尔滨工业大学管理学院,黑龙江哈尔滨150001

出　　处：《哈尔滨工程大学学报》2012年第8期1062-1066,共5页Journal of Harbin Engineering University

基　　金："技术;政策;管理(TPM)"国家哲学社会科学创新基地资助项目

摘　　要：为了更加合理地在金融资产定价模型中反应投资者等行为主体的真实风险感受,并分析除市场风险以外的其他风险对于资产均衡收益的影响,通过期望损失(expected shortfall,ES)方法测度风险,并将其作为目标函数,构建相应的均值-风险投资组合优化模型,进而通过求解优化模型的解析解得出基于ES的金融资产定价模型.同时将资产的流动性风险因子引入金融资产定价模型,进一步得出了经过扩展的金融资产定价模型.大量的理论和实证研究表明,ES较之于已有其他的风险测度方法要更为符合投资者的真实心理感受,而对资产风险进行准确有效测度是资产定价的重要前提和基础,所以与已有的金融资产定价模型相比,采用ES测度风险时所给出的金融资产定价模型所反应投资者风险感受也更为符合实际,同时从定价模型的形式上可以直观地看出其所包含的金融资产定价因子也更为全面.In order to reasonably reflect the real attitude of investors in asset pricing models and consider the other factors affecting asset returns,an expected shortfall（ES） method was used to measure asset risk and construct a portfolio optimization model with the ES result as an object function and the expected return as the constraint.Then,an asset pricing model was deduced from the solution process of the former mean-risk optimization model.Meanwhile,the liquidity risk factor was introduced into the ES based on the asset pricing model,which resulted in an extended asset pricing model.Significant study shows that the ES can reflect investors’ risk attitudes better than other risk measures because the proper risk measure is the fundamental and critical component for asset pricing..Compared with other asset pricing models,the model proposed in this paper with ES risk measures can reflect the attitude of investors more objectively,supplying abundant pricing factors.

关 键 词：市场风险 ES风险测度方法 投资组合优化 流动性风险 金融资产定价模型 

分 类 号：F830.9[经济管理—金融学]