【作者】 安实； 孙健； 王岩；

【Author】 AN Shi,SUN Jian,WANG Yan (Harbin Institute of Technology, Management school ,Heilongjiang,Harfain 150001 ,China)

【机构】 哈尔滨工业大学管理学院；

【摘要】 针对静态风险度量方法无法实现多阶段投资风险度量需要的缺陷,根据动态风险度量过程的特点,提出时间持续性概念以及推论,通过简单算例证明目前静态风险度量方法VaR、CVaR和ES由于不满足时间持续性而无法实现多阶段风险度量的不合理现状,建立基于离散时间状态和Markov决策过程的多阶段风险度量。更多还原

【Abstract】 Because static risk measures couldn’ t meet the requirement of multi-stage investment risk measure, according to the characters of dynamic risk measures process, the conception of time consistency and its corollaries. It has been proved that the present static risk measures such as VaR, CVaR and ES couldn’ t realize the multi-stage risk measures because they are lack of time consistency. Finally, we propose the multi-risk measures based on the discrete-time process and Markov decision process.更多还原