风险分配在资产组合管理中的应用  

The application of risk allocation to asset portfolio

作　　者：李茜 LI Qian

机构地区：[1]安徽师范大学皖江学院经济系,安徽芜湖241000

出　　处：《淮南师范学院学报》2017年第4期54-57,共4页Journal of Huainan Normal University

摘　　要：在风险资产组合管理中,基金管理者不仅要考虑资质组合的风险与收益,还要明晰个体风险对整个风险组合的贡献大小,以方便对资产组合进行管理与资金分配。利用CAPM定价模型中β系数对系统风险的测度,讨论风险可互换的两种资产对资产组合预期收益的影响,并结合风险分配函数,尝试讨论投资组合中的资产选择方案。In the risk of portfolio management, fund managers should not only consider the benefits and risks of the portfolio, but also be clear about the individual contribution to the whole risk portfolio in order to conveniently manage portfolio and allocate of funds. Based on the $CAPM $ model of coefficient on the system the measure of risk, the author discussed the effect of two interchangeable risks on portfolio expected return, discussed the asset options in investment with the help of risk allocation function.

关 键 词：风险分配 风险度量 CAPM 资产组合 

分 类 号：F830.59[经济管理—金融学]