| 动态一致性风险度量 |
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| 引用本文： | 何信,张世英,孟利锋.动态一致性风险度量[J].系统管理学报,2003,12(3):243-247. |
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| 作者姓名： | 何信 张世英 孟利锋 |
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| 作者单位： | 天津大学,管理学院,天津,300072 |
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| 基金项目： | 国家自然科学基金资助项目(70171001) |
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| 摘 要： | 以投资期限的划分为分界点,提出了静态和动态两种类型的金融风险度量方法.以风险度量的一致性标准为纽带,分析和证明了动态风险度量的一致性.最后,对一般概率通过函数变换,应用Choquet积分思想,对动态一致性风险度量的特征进行了探讨,指出它在实际应用中为多期风险度量方法提供的理论依据,对长期组合投资具有重要的现实指导意义.
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| 关 键 词： | 风险度量 一致性度量 静态风险 动态风险 |
| 文章编号： | 1005-2542(2003)03-0243-05 |
| 修稿时间： | 2002年12月30 |
Dynamic Coherent Risk Measures |
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| HE Xin,ZHANG Shi-ying,MENG Li-feng.Dynamic Coherent Risk Measures[J].Systems Engineering Theory·Methodology·Applications,2003,12(3):243-247. |
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| Authors: | HE Xin ZHANG Shi-ying MENG Li-feng |
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| Abstract: | This paper takes the investment period as the point of division, two types of financial risk measurement including static and dynamic are given clearly. The coherence between two methods is analyzed and verified via coherent standard of risk measurement. Finally, based on the Choquet integral of distortion probability, the characterization of dynamic coherent measures is discussed. It provides theoretical evidence for the methods of different transaction dates risk measurement in empirical application. It is very important to long portfolio. |
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| Keywords: | risk measures coherent measures static risk dynamic risk |
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