CAJ | 학술논문

为了更加充分合理地反映投资者的风险态度,文章提出非对称一致性风险测度。这一风险测度在多参考点的情形下通过局部凹性和局部凸性分别描述了投资者对收益双向波动的不同风险态度,并弱化了平移不变性、零风险性等方面的要求,实现了对已有风险测度公理体系的补充与完善。进一步给出一类非对称一致性风险测度的函数形式,并以其为基础构建了投资组合优化模型,同时结合具体数据进行实证研究,结果表明非对称一致性风险测度及相应的投资组合优化模型在实践中是合理可行的。
위료경가충분합리지반영투자자적풍험태도,문장제출비대칭일치성풍험측도。저일풍험측도재다삼고점적정형하통과국부요성화국부철성분별묘술료투자자대수익쌍향파동적불동풍험태도,병약화료평이불변성、령풍험성등방면적요구,실현료대이유풍험측도공리체계적보충여완선。진일보급출일류비대칭일치성풍험측도적함수형식,병이기위기출구건료투자조합우화모형,동시결합구체수거진행실증연구,결과표명비대칭일치성풍험측도급상응적투자조합우화모형재실천중시합리가행적。
In order to reflect the risk attitude of investors more completely and rationally, this paper defines an asymmetric risk measure. The new risk measure describes the different attitudes towards bilateral volatility of return through local concavity and local convexity, weakens the properties of translation invariance and zero risk assuming the existence of multiple reference points, which improves the existing axiomatics of risk measure. This paper brings forward a generalized form of asymmetric risk measure, based on which a portfolio optimization model is proposed and corresponding empirical analysis is carried out. The result shows that the asymmetric risk measure defined in this paper and the related portfolio optimization model are reasonable and feasible in practice.