CAJ | 학술논문

经典的均值一方差投资组合模型作为现代投资组合理论的基础，采用方差作为风险度量，忽略了投资组合收益的非对称性．半方差模型只侧重于风险部分的度量，而对于高出期望值的部分（超额收益）未予考虑．文章针对方差、半方差方法作为风险测度的不足，提出了一种新的度量投资风险和收益的RR—EP模型，该模型不仅能度量投资的相对风险而且还能够对于高出期望值的那部分收益予于充分考虑．并结合连续型随机变量的情形，进一步讨论RR-EP模型的性质及其与传统度量风险方法的一致性．实例分析说明了方法的实用性和有效性．
경전적균치일방차투자조합모형작위현대투자조합이론적기출，채용방차작위풍험도량，홀략료투자조합수익적비대칭성．반방차모형지측중우풍험부분적도량，이대우고출기망치적부분（초액수익）미여고필．문장침대방차、반방차방법작위풍험측도적불족，제출료일충신적도량투자풍험화수익적RR—EP모형，해모형불부능도량투자적상대풍험이차환능구대우고출기망치적나부분수익여우충분고필．병결합련속형수궤변량적정형，진일보토론RR-EP모형적성질급기여전통도량풍험방법적일치성．실례분석설명료방법적실용성화유효성．
The classical Markowitz＇s mean-variance model in modern investment science uses variance as risk measure while it ignores the asymmetry of the return distribution. Semivariance method only pays attention to the measurement of risk part. It ignores the profit over expectation （the excess profit）. This paper identifies the shortcoming of variance and semivariance methods and introduces a new risk measure model for investment RR-EP model. This model can not only measure the relative risk of investment but also give enough consideration to the profits over expectation, As to continuous random variables, the paper gives some properties of RR-EP model and the consistency between RR-EP model and traditional risk measure model. Case analysis proves the practicality and efficiency of this new method.