一个非对称风险度量模型及组合证券投资分析

中国管理科学 ›› 2005, Vol. ›› Issue (2): 8-14.

一个非对称风险度量模型及组合证券投资分析

胡支军^1,2, 黄登仕¹

1. 西南交通大学经济管理学院, 成都, 610031;
2. 贵州大学数学系, 贵阳, 550025

收稿日期:2004-08-18 修回日期:2005-03-18 出版日期:2005-04-28 发布日期:2012-03-07
基金资助:
国家杰出青年科学基金资助项目(70229001)

Portfolio Analysis with An Asymmetric Risk Measure

HU Zhi-jun^1,2, HUANG Deng-shi¹

1. School of Economics & Management, Southwest Jiaotong University, Chengdu 610031, China;
2. Mathematica Department of Guizhou University, Guiyang 550025, China

Received:2004-08-18 Revised:2005-03-18 Online:2005-04-28 Published:2012-03-07

摘要/Abstract

摘要： 在分析Jia&Dyer的风险-价值理论基础上,给出了一个基于预先给定的目标收益的非对称风险函数。该风险函数是低于参考点的离差和高于参考点的离差的加权和,它利用一阶"上偏矩"来修正二阶下偏矩,进一步建立了在此非对称风险函数下的二次规划组合证券投资模型;并证明了该模型与三阶随机占优准则的一致性;最后通过上海证券市场的实际数据验证了该模型的有效性和实用性。

关键词: 非对称风险函数, 组合投资, 风险-价值模型, 随机占优

Abstract: Based on Jia & Dyer’s risk-value framework,this paper proposes an asymmetric risk measure model.The measure of risk is a weighted sum of below-target deviations and above-target deviations,where downside risk is supplemented with the "upper partial moment",we also setup the quadratic programming portfolio optimization model with this new measure;Consistency of the proposed optimal portfolio model with the third degree stochastic dominance is proved and finally an empirical study using data from Shanghai stock market is given in order to describe its application.

Key words: asymmetric risk function, portfolio analysis, risk-value model, stochastic dominance

中图分类号:

F830

胡支军, 黄登仕. 一个非对称风险度量模型及组合证券投资分析[J]. 中国管理科学, 2005, (2): 8-14.

HU Zhi-jun, HUANG Deng-shi. Portfolio Analysis with An Asymmetric Risk Measure[J]. Chinese Journal of Management Science, 2005, (2): 8-14.

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