混合型风险谱函数的谱风险度量
|
摘要
构造出一类符合特殊投资者投资心理的混合型效用函数,并将此类效用函数和风险厌恶系数相结合构造出混合型的风险谱函数。实证分析结果表明,收益率参照点设置较低时,谱风险度量的值随着风险厌恶系数的增大而增大;固定风险厌恶系数时,谱风险度量的值会随着收益率参照点的增大而降低。最后将基于混合型风险谱函数的谱风险度量与金融市场中的股票数据结合做出资产组合的优化配置。
This paper considers a mixed utility function which fits investors' psychological factors. Based on this mixed utility function and risk aversion coefficient,a class of mixed spectrum function is proposed. The empirical analysis shows that if the reference point is set at a low level,the value of the spectral risk measure(SRM) will increase with the increase of risk aversion coefficient,whereas with fixed risk aversion coefficient,the value of SRM will decrease as the reference point increases. Finally,the optimal asset allocation is given based on a mixed spectral measure of risk and stock data.
This paper considers a mixed utility function which fits investors' psychological factors. Based on this mixed utility function and risk aversion coefficient,a class of mixed spectrum function is proposed. The empirical analysis shows that if the reference point is set at a low level,the value of the spectral risk measure(SRM) will increase with the increase of risk aversion coefficient,whereas with fixed risk aversion coefficient,the value of SRM will decrease as the reference point increases. Finally,the optimal asset allocation is given based on a mixed spectral measure of risk and stock data.
引文
[1]Artzner P,Delbaen F,Eber J M,et al.Coherent measures of risk[J].Mathematical Finance,1999,9(3):203-228.
[2]Uryasev S.Conditional value-at-risk:optimization algorithms and applications[C]∥Proceeding of Computational Intelligence for Financial Engineering,NewYork,USA,2000.
[3]SezgG.Measures of risk[J].European Journal of Operational Research,2005,163:5-19.
[4]Tasche D.Expected shortfall and beyond[J].Journal of Banking&Finance,2002,26:1519-1533.
[5]Acerbi C.Coherent Representations of Subjective Risk Aversion[EB/OL].[2003-07-25]http:∥courses.sx.ac.uk/cf/cf968/Acerbi_wileybookchapter13.pdf.
[6]Acerbi C.Spectral measures of risk:A coherent representation of subjective risk aversion[J].Journal of Banking&Finance,2002,26:1505-1518.
[7]Adam A,Houkari M,Laurent J P.Spectral risk measures and portfolio selection[J].Journal of Banking&Finance,2008,32:1870-1882.
[8]益智,杨敏敏.基于极值谱风险测度的金融市场风险度量[J].商业经济与管理,2009,214(8):70-77.Yi Z,Yang M M.Measuring risk of finacial markets:based on extreme spectral risk measures[J].Journal of Business Economics,2009,214(8):70-77.(in Chinese)
[9]迟国泰,王元斌,张玉玲.基于几何风险谱测度GM的期货套期保值模型研究[J].管理工程学报,2010,24(2):29-35.Chi G T,Wang Y B,Zhang Y L.Research on futures optimal hedge ratio model based on GM[J].Journal of Industrial Engineering/Engineering Management,2010,24(2):29-35.(in Chinese)
[10]陶敏静,任小磊,杨永愉.风险谱函数的设计与选择[J].北京化工大学学报:自然科学版,2009,36(2):105-109.Tao M J,Ren X L,Yang Y Y.Construction and choice of risk spectrum function[J].Journal of Beijing University of Chemical Technology:Natural Science,2009,36(2):105-109.(in Chinese)
[11]吕世超,田凯,杨永愉.基于谱风险度量的风险谱函数的研究[J].北京化工大学学报:自然科学版,2011,38(6):135-140.Lu S C,Tian K,Yang Y Y.Spectral risk measures base on risk spectrum function[J].Journal of Beijing University of Chemical Technology:Natural Science,2011,38(6):135-140.(in Chinese)
[12]王一鸣.数理金融经济学[M].北京:北京大学出版社,2000.Wang Y M.Mathematical financial economics[M].Beijing:Beijing University Press,2000.(in Chinese)
[2]Uryasev S.Conditional value-at-risk:optimization algorithms and applications[C]∥Proceeding of Computational Intelligence for Financial Engineering,NewYork,USA,2000.
[3]SezgG.Measures of risk[J].European Journal of Operational Research,2005,163:5-19.
[4]Tasche D.Expected shortfall and beyond[J].Journal of Banking&Finance,2002,26:1519-1533.
[5]Acerbi C.Coherent Representations of Subjective Risk Aversion[EB/OL].[2003-07-25]http:∥courses.sx.ac.uk/cf/cf968/Acerbi_wileybookchapter13.pdf.
[6]Acerbi C.Spectral measures of risk:A coherent representation of subjective risk aversion[J].Journal of Banking&Finance,2002,26:1505-1518.
[7]Adam A,Houkari M,Laurent J P.Spectral risk measures and portfolio selection[J].Journal of Banking&Finance,2008,32:1870-1882.
[8]益智,杨敏敏.基于极值谱风险测度的金融市场风险度量[J].商业经济与管理,2009,214(8):70-77.Yi Z,Yang M M.Measuring risk of finacial markets:based on extreme spectral risk measures[J].Journal of Business Economics,2009,214(8):70-77.(in Chinese)
[9]迟国泰,王元斌,张玉玲.基于几何风险谱测度GM的期货套期保值模型研究[J].管理工程学报,2010,24(2):29-35.Chi G T,Wang Y B,Zhang Y L.Research on futures optimal hedge ratio model based on GM[J].Journal of Industrial Engineering/Engineering Management,2010,24(2):29-35.(in Chinese)
[10]陶敏静,任小磊,杨永愉.风险谱函数的设计与选择[J].北京化工大学学报:自然科学版,2009,36(2):105-109.Tao M J,Ren X L,Yang Y Y.Construction and choice of risk spectrum function[J].Journal of Beijing University of Chemical Technology:Natural Science,2009,36(2):105-109.(in Chinese)
[11]吕世超,田凯,杨永愉.基于谱风险度量的风险谱函数的研究[J].北京化工大学学报:自然科学版,2011,38(6):135-140.Lu S C,Tian K,Yang Y Y.Spectral risk measures base on risk spectrum function[J].Journal of Beijing University of Chemical Technology:Natural Science,2011,38(6):135-140.(in Chinese)
[12]王一鸣.数理金融经济学[M].北京:北京大学出版社,2000.Wang Y M.Mathematical financial economics[M].Beijing:Beijing University Press,2000.(in Chinese)