加权半方差风险度量模型

文章考虑到资产离散程度和投资者的风险爱好,引入风险偏好系数,建立加权半方差风险度量模型;虽然证券价格具有局部突变性,但从长期整体看证券价格的变化具有整体连续变化的基本属性;用“局部积分均值”方法估计证券期望收益率,可以平滑证券价格的突变因素而加强整体变化连续性因素的作用,更能客观反映实际变化的规律。

Weighted semi-variance risk measuring model for portfolio investment

Semi-variance risk measuring models only consider the part under the expected returns.The risk bias coefficient is introduced in the paper and a weighted semi-variance risk measuring model for portfolio investment is established.Although the stock certificate price may have a partial mutation,its variety has the attribute of whole consecution in a long period of time.This paper quotes the estimated value of the stocks by using the "local integral mean value" method in time series,thus smoothing the mutation factor of the stock certificate price and strengthening the function of the whole variety consecution factor,so that the regularity of the actual variety can be gained.