动态投资组合现金次可加风险度量的时间相容性  

Time Consistency of Dynamic Cash Subadditive Risk Measures for Portfolios

作　　者：刘红卫[1] 肖彩波 LIU Hongwei;XIAO Caibo(School of Science,Tibet University,Tibet 85000,China;School of Public Administration,Hebei University of Economics and Business,Hebei 050061,China)

机构地区：[1]西藏大学理学院,西藏拉萨850000 [2]河北经贸大学公共管理学院,河北石家庄050061

出　　处：《应用数学》2020年第1期66-76,共11页Mathematica Applicata

基　　金：西藏自治区自然科学基金重点项目资助(XZ2019ZRG-25);西藏大学培育基金项目资助(ZDCZJH19-29);西藏大学珠峰学者项目资助(2016141)

摘　　要：本文把Burgert和Ruschendorf(2006)及Ruschendorf(2013)的静态投资组合凸风险度量的研究框架推广到动态现金次可加情形中进行研究.利用风险度量公理化方法建立了条件投资组合现金次可加风险度量的研究框架,给出相应的表示定理,并研究了动态投资组合现金次可加风险度量在满足假定条件下的时间相容性问题,推广了Burgert和Ruschendorf(2006)及EL Karoui和Ravanelli(2009)的结论.In this paper,the research framework of static convex risk measures for portfolios in Burgert and Ruschendorf(2006)and Ruschendorf(2013)is extended to dynamic cash sub-additive case.The research framework of cash sub-additive risk measures for portfolios is established by using axiomatic approach to risk measures,the corresponding representation is provided,and time consistency properties of dynamic cash sub-additive risk measures for portfolios is investigated in terms of assumptions,the conclusions of Burgert,Ruschendorf(2006)and EL Karoui,Ravanelli(2009)are extended.

关 键 词：投资组合 现金次可加 动态风险度量 表示定理 时间相容性 

分 类 号：F830.9[经济管理—金融学]