谱风险测度下的投资组合

【摘要】 谱风险测度能够很好地反映投资者对待风险的态度,具体通过不同的可接受风险谱函数来反映,是一种比ES更好的一致风险测度。故本文采用谱风险作为对风险的衡量,建立均值-谱风险的投资者组合模型,并给出了在正态分布下的解析式。本文旨在给广大学者提供一种新的研究视角,并在结尾处给出了下一步的研究方向。更多还原

【Abstract】 Spectral risk can well reflect the investor’s attitude towards risk through the different spectral function.So the spectral risk measure is better than the expected shortfall risk measure.Therefore,based on spectral risk,the paper discusses the mean-M portfolio model and gets the analytical expression in the normal distribution.The paper aims to provide the majority of scholars,a new research perspective,and at the end gives future research directions.更多还原