期刊论文

Zheng, C.-L.(zhengchengli168@163.com)

中文

系统工程理论与实践

1000-6788

2014

34

3

648-655

国家自然科学基金(71171095)

本校为第一且通讯机构

本文基于一种新的一致性风险测度——等熵风险测度,进行组合优化,以检验其择股能力,从而检验其风险识别能力.先就风险识别能力,尤其随机占优一致性对三种基于分位数的风险测度:VaR, ES (expected shortfall)和等熵风险测度进行了介绍与对比.VaR具有一阶随机占优一致性,而ES具有二阶随机占优一致性;等熵风险测度利用了整个分布的信息,不再是简单的0-1风险测度,这与VaR和ES显著不同.而且,等熵风险测度具有更高阶的随机占优一致性,这使得该风险测度具有更好的风险分辨能力.而后采用Spearman秩检验方法来检验和预测不同风险测度的风险识别能力,这与随机占优一致性阶数相呼应.最后,在上证50指数成份股...

This article optimizes stocks portfolio through a new proposed coherent risk measure called relative-entropic risk measure. And then the ability of the optimization model is tested, which is the test of the discrimination for risk of the risk measure. Firstly, it introduces the consistence with stochastic dominances for three kinds of quantile-based risk measures: VaR, ES and relative-entropic risk measure. It is pointed that ES only utilizes local information as VaR, and is consistent with stochastic dominances lower than second-order. However, relative-entropic risk measure utilizes the whol...