期刊论文

中文

系统管理学报

1005-2542

2017

26

5

857-868

国家自然科学基金资助项目(71171095) 中央高校自主科研项目(CCNU15A02021)

本校为第一机构

从一致性公理的角度,介绍了MV (Mean-Variance)、VaR(Value-at-Risk)、ES(Expected Shortfall)以及HMCR(Higher Moment Coherent Risk Measure)等风险测度,引入随机占优的概念,分析了HMCR与随机占优一致性的关系,并证明了HMCR(p =n)具有(n+1)阶随机占优一致性,并采用Spearman秩检验法来检验和预测不同测度的风险识别能力。结果显示,HMCR(p=2,3)的风险识别能力好于其他风险测度。最后,在沪深300指数成份股中采用组合优化方法,考察MV、VaR、ES和HMCR测度优化组合持有期的不同业绩指标,得到其最优组合的累计预期收益率。结果显示,HMCR(p=2,3)的业绩指标最好,表明该测度风险识别能力最高,其较高的累...

From the point of view in the axiomatic foundation of coherent risk measures,this paper introduces MV (Mean-Variance),VaR (Value at Risk),ES (Expected Shortfall) and HMCR (Higher Moment Coherent Risk Measure).Based on the concept of stochastic dominances to analyze the relationship between HMCR and the consistency of stochastic dominances,we demonstrated that the HMCR(p =n) is compatible with the (n + 1)th order stochastic dominance.Then,Spearman rank test is used to test the discrimination of risk for different risk measures,which shows that HMCR(p=2,3) are better than others.Last,four kinds ...