非对称一致性风险测度及其应用  

Asymmetric Coherent Risk Measure and its Application

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,黑龙江哈尔滨150001

出　　处：《东北农业大学学报（社会科学版）》2012年第5期56-59,共4页Journal of Northeast Agricultural University:Social Science Edition

摘　　要：为了更加充分合理地反映投资者的风险态度,文章提出非对称一致性风险测度。这一风险测度在多参考点的情形下通过局部凹性和局部凸性分别描述了投资者对收益双向波动的不同风险态度,并弱化了平移不变性、零风险性等方面的要求,实现了对已有风险测度公理体系的补充与完善。进一步给出一类非对称一致性风险测度的函数形式,并以其为基础构建了投资组合优化模型,同时结合具体数据进行实证研究,结果表明非对称一致性风险测度及相应的投资组合优化模型在实践中是合理可行的。In order to reflect the risk attitude of investors more completely and rationally, this paper defines an asymmetric risk measure. The new risk measure describes the different attitudes towards bilateral volatility of return through local concavity and local convexity, weakens the properties of translation invariance and zero risk assuming the existence of multiple reference points, which improves the existing axiomatics of risk measure. This paper brings forward a generalized form of asymmetric risk measure, based on which a portfolio optimization model is proposed and corresponding empirical analysis is carried out. The result shows that the asymmetric risk measure defined in this paper and the related portfolio optimization model are reasonable and feasible in practice.

关 键 词：金融工程 非对称一致性风险测度 风险测度公理体系 多参考点 投资组合优化 

分 类 号：F224[经济管理—国民经济]