基于改进的Fishburn测度的一致性风险度量

An New CRM Based on Perfection to the Risk Measure of Fishburn

一致性风险度量在金融风险管理中是十分重要的风险度量.下偏矩度量是位于目标收益(率)下方的风险损失,通过引入新目标收益率对Fishburn风险测度进行了改进,在Fischer基于单边矩风险度量所建立的一致性风险度量的基础上得到了一个新的一致性风险度量,适用于任何类型的收益(率)分布,更加符合投资者的心理实际,最后通过实例验证了所得的一致性风险度量的有效性和合理性.

Coherent risk measures （CRM） are very important ones in financial risk management, lower partial moments are loss risk measures below the target return ratio. On the basis of the perfection to the risk measure of Fishburn by introducing new target return ratio, an new CRM is proposed making use of Fischer＇ risk measure based on one-sided moments, which accounts for investors＇ psychology. Finally, the new CRM is proved to be effective and reasonable with an example.