风险调整收益及其在投资决策中的应用——对均值—方差决策准则一点补充  

Risk-adjusted-return and its application in investment decision ——a complement for mean-variance decision rule

作　　者：黄桐城[1] 刘春章[1] 陈汉军[1] 

机构地区：[1]上海交通大学管理学院,上海200052

出　　处：《数理统计与管理》2004年第2期46-48,共3页Journal of Applied Statistics and Management

摘　　要：指出传统的均值 方差决策规则在度量风险方面的不足,认为风险与投资收益的偏差有关;指出了一种新的风险度量指标———风险组合偏差,同时提出了一种能够根据风险大小进行投资的决策指标———风险调整收益,并举例说明了二者在分析投资项目时的应用。The article identifies the shortcoming of the traditional mean-variance decision rule in the measurement of risk.The authors think that the risk is related to the skewness of investment return,and propose a new index of risk measurement,risk combination deviation,and a new index of investment decision,risk-adjusted-return,which can be adjusted by the risk.Finally,an example is used to illustrate the application of the two indexes in investment analysis.

关 键 词：风险调整收益 投资决策 均值-方差决策 风险组合偏差 风险度量 

分 类 号：F830.59[经济管理—金融学] O212[理学—概率论与数理统计]