风险谱函数的设计与选择

研究了风险谱函数的构造及谱风险度量在金融市场中的应用。根据风险厌恶系数和效用函数理论，提出了一种风险谱函数的设计构造方法，得到了指数风险谱函数和幂风险谱函数。实证分析表明，运用这两种谱函数所得到的谱风险度量的结果，差别并不大。最后，提出了以谱风险度量为目标函数的投资组合优化配置模型，并讨论了模型的求解结果。

Construction and choice of risk spectrum function

We focus on the construction of risk spectra and the application of spectral risk measures to the financial markets.According to the risk aversion coefficient and the utility theory,we demonstrate a method to construct a risk spectrum and set up two forms of spectra,the exponent risk spectrum and the power risk spectrum.Subsequent empirical tests showed that different selections of the two functions have a negligible effect on the value of the spectral risk measure.Finally,we optimize the allocation of a po...