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经典的均值-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.
The classic mean-variance portfolio model, as the basis of modern portfolio theory, uses variance as a measure of risk and ignores the asymmetry of portfolio returns.The semi-variance model only focuses on the measurement of the risk part, while for the part above the expected value (Excess return) is not considered.This paper proposes a new RR-EP model to measure the risk and return of investment, which is not enough to measure the variance and semi-variance as risk measure, which not only can measure the relative risk of investment but also can Which gives more consideration to the part of the return that is higher than the expectation value.Moreover, we discuss the nature of the RR-EP model and its consistency with the traditional method of risk measurement in combination with the case of continuous random variables.Example analysis shows the practicability of the method and Effectiveness.