| 基于谱风险度量的风险谱函数的研究 |
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| 引用本文： | 吕世超,田凯,杨永愉.基于谱风险度量的风险谱函数的研究[J].北京化工大学学报(自然科学版),2011,38(6):135-140. |
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| 作者姓名： | 吕世超 田凯 杨永愉 |
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| 作者单位： | 北京化工大学理学院,北京,100029;北京化工大学理学院,北京,100029;北京化工大学理学院,北京,100029 |
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| 摘 要： | 提出双曲型风险谱函数并得到了双曲型谱风险度量的估计量、后验检验和投资组合优化模型。实证分析表明，单个资产的双曲型谱风险度量值受置信水平和风险厌恶因子的影响，以双曲型谱风险度量为目标函数的投资组合的优化配置受风险厌恶因子和期望收益率的影响。
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| 关 键 词： | 谱风险度量 风险谱函数 双曲型绝对风险厌恶 后验检验 投资组合 |
| 收稿时间： | 2011-05-30 |
Spectral risk measures base on risk spectrum function |
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| LV ShiChao,TIAN Kai,YANG YongYu.Spectral risk measures base on risk spectrum function[J].Journal of Beijing University of Chemical Technology,2011,38(6):135-140. |
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| Authors: | LV ShiChao TIAN Kai YANG YongYu |
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| Institution: | School of Science, Beijing University of Chemical Technology, Beijing 100029, China |
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| Abstract: | A hyperbolic absolute risk aversion(HARA) spectrum function is proposed and an estimation of spectral risk measures with the HARA spectrum function,backing tests and the portfolio optimization model is obtained.The empirical analysis shows that the hyperbolic spectral risk measure of a single asset is affected by the confidence level and risk aversion factor,while the optimal allocation of the portfolio based on the hyperbolic spectral risk measures is influenced by the expected rate of return and risk aver... |
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| Keywords: | spectral risk measure risk spectrum hyperbolic absolute risk aversion backing test portfolio |
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