摘要
本文基于由Carlo Acerbi(2002)提出的一类一致性风险度量—谱风险测度M,给出了谱风险测度的一些性质及构造谱密度的一种具体形式;重点讨论了正态情形下风险资产组合的均值—M有效前沿,探讨了其经济含义,并与经典的均值—方差有效前沿进行了对比研究,获得了若干深入的结果。由于期望短缺ES是特殊的谱风险测度,因此其对应的有效前沿是本文结果的特例。最后,本文利用前面的结论对深市和沪市的风险资产组合的均值—M有效前沿作了实证分析。
Based on the Spectral Measures of Risk （M） -a new approach of coherent risk measures introduced by Acerbi（2002）, this paper discusses some properties of Spectral Measures of Risk and one especial cases of this kind of risk,principally studies the Mean- M efficient frontier of portfolio and examines the economic implications under the assumption of normality of risk securities. Moreover, the comparison between the Mean- M efficient frontier, the Mean - Variance efficient frontier and the Mean - ES efficient frontier is provided. Some interesting and practical results are obtained. At the same time,as a generic case, the result of ES accords with that of M corresponsively. Finally,this paper gives the Mean- M efficient frontier of portfolio selected from Shanghai and Shenzhen stock markets using foregoing conclusion.
出处
《中国管理科学》
CSSCI
2005年第5期6-11,共6页
Chinese Journal of Management Science
基金
国家自然科学基金资助项目(70071012)
广西科学研究与技术开发资助项目(0385008)
关键词
一致性风险度量
谱风险测度
谱风险
有效前沿
coherent risk measures
spectral measures of risk
risk spectrum
efficient frontier
