摘要
在Shefrin和Statman的行为投资组合和多心理帐户理论的基础上,结合Copula理论对传统的VaR计算模型进行了改进,加入了反映人们预期和风险态度的主观参数,从而使风险度量能够建立在概率(probability)、前景(prospect)和偏好(preference)("新3P")的基础之上.然后在此基础上给出了基金投资组合风险预警和投资比例优化的方法.
We improve the VaR model based on Copula theory and Shefrin and Statman＇s behavior portfolio theory and multiple mental account theory, adding the subjective parameters reflecting risk manager＇s expectation and risk attitude, such that risk measurement and management can be built on the ＂New 3P＂-- Probability, Prospect and Preference. Then we give a new approach to risk forecasting and optimizing of investment weight for fund portfolios.
出处
《系统工程理论与实践》
EI
CSSCI
CSCD
北大核心
2011年第5期799-804,共6页
Systems Engineering-Theory & Practice
基金
国家自然科学基金(70971006
70831001)
国家重点基础研究发展计划(973计划)(2007CB814900)
