风险分配与风险预算管理

Risk Allocation and Risk Budgeting Management

本文首先引入风险度量定义,分析了无组合效应风险与可互换风险这两种具有特殊性质的个体风险特征,在此基础上我们讨论了风险分配应该满足的原则.我们证明并比较了在标准差风险度量下,协方差风险分配函数与相对风险分配函数性质上的差异,并证明风险预算也是一种特殊形式的风险分配函数.最后我们给出不同风险分配函数之间的联系.

In this paper we introduce the concept of risk measure and give a detailed discussion of the characters of redundant risk and interchangeable risk. Additionally, we give a full explanation for the financial meanings of the risk allocation principles. We show the different properties between covariance risk allocation function and relative risk allocation function and prove that the commonly used risk budgeting model is a special form of risk allocation function. Finally, we try to reveal the equivalent relationship for each pair of risk allocation functions.