风险资产组合的均值—M有效前沿及其实证分析

中国管理科学 ›› 2005, Vol. ›› Issue (5): 6-11.

风险资产组合的均值—M有效前沿及其实证分析

李小平, 刘小茂

华中科技大学主校区数学系, 武汉, 430074

收稿日期:2004-12-13 修回日期:2005-08-22 出版日期:2005-10-28 发布日期:2012-03-07
基金资助:
国家自然科学基金资助项目(70071012);广西科学研究与技术开发资助项目(0385008)

The Mean-Spectral Measures of Risk Efficient Frontier of Portfolio and Its Empirical Test

LI Xiao-ping, LIU Xiao-mao

Mathematics Department, Huazhong University of Science and Technology, Wuhan 430074, China

Received:2004-12-13 Revised:2005-08-22 Online:2005-10-28 Published:2012-03-07

摘要/Abstract

摘要： 本文基于由Carlo Acerbi(2002)提出的一类一致性风险度量—谱风险测度M,给出了谱风险测度的一些性质及构造谱密度的一种具体形式;重点讨论了正态情形下风险资产组合的均值—M有效前沿,探讨了其经济含义,并与经典的均值—方差有效前沿进行了对比研究,获得了若干深入的结果。由于期望短缺ES是特殊的谱风险测度,因此其对应的有效前沿是本文结果的特例。最后,本文利用前面的结论对深市和沪市的风险资产组合的均值—M有效前沿作了实证分析。

关键词: 一致性风险度量, 谱风险测度, 谱风险, 有效前沿

Abstract: Based on the Spectral Measures of Risk(M)-a new approach of coherent risk measures introduced by Acerbi(2002),this paper discusses some properties of Spectral Measures of Risk and one especial cases of this kind of risk,principally studies the Mean-M efficient frontier of portfolio and examines the economic implications under the assumption of normality of risk securities.Moreover,the comparison between the Mean-M efficient frontier,the Mean-Variance efficient frontier and the Mean-ES efficient frontier is provided.Some interesting and practical results are obtained.At the same time,as a generic case,the result of ES accords with that of M corresponsively.Finally,this paper gives the Mean-M efficient frontier of portfolio selected from Shanghai and Shenzhen stock markets using foregoing conclusion.

Key words: coherent risk measures, spectral measures of risk, risk spectrum, efficient frontier

中图分类号:

F830

李小平, 刘小茂. 风险资产组合的均值—M有效前沿及其实证分析[J]. 中国管理科学, 2005, (5): 6-11.

LI Xiao-ping, LIU Xiao-mao. The Mean-Spectral Measures of Risk Efficient Frontier of Portfolio and Its Empirical Test[J]. Chinese Journal of Management Science, 2005, (5): 6-11.

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