摘要
在分析Jia&Dyer的风险-价值理论基础上,给出了一个基于预先给定的目标收益的非对称风险函数。该风险函数是低于参考点的离差和高于参考点的离差的加权和,它利用一阶"上偏矩"来修正二阶下偏矩,进一步建立了在此非对称风险函数下的二次规划组合证券投资模型;并证明了该模型与三阶随机占优准则的一致性;最后通过上海证券市场的实际数据验证了该模型的有效性和实用性。
Based on Jia & Dyer's risk-value framework,this paper proposes an asymmetric risk measure model.The measure of risk is a weighted sum of below-target deviations and above-target deviations,where downside risk is supplemented with the 'upper partial moment',we also setup the quadratic programming portfolio optimization model with this new measure;Consistency of the proposed optimal portfolio model with the third degree stochastic dominance is proved and finally an empirical study using data from Shanghai stock market is given in order to describe its application.
出处
《中国管理科学》
CSSCI
2005年第2期8-14,共7页
Chinese Journal of Management Science
基金
国家杰出青年科学基金资助项目(70229001)
关键词
非对称风险函数
组合投资
风险-价值模型
随机占优
asymmetric risk function
portfolio analysis
risk-value model
stochastic dominance
