风险谱函数的设计与选择

Construction and choice of risk spectrum function

研究了风险谱函数的构造及谱风险度量在金融市场中的应用。根据风险厌恶系数和效用函数理论,提出了一种风险谱函数的设计构造方法,得到了指数风险谱函数和幂风险谱函数。实证分析表明,运用这两种谱函数所得到的谱风险度量的结果,差别并不大。最后,提出了以谱风险度量为目标函数的投资组合优化配置模型,并讨论了模型的求解结果。

We focus on the construction of risk spectra and the application of spectral risk measures to the financial markets. According to the risk aversion coefficient and the utility theory, we demonstrate a method to construct a risk spectrum and set up two forms of spectra, the exponent risk spectrum and the power risk spectrum. Subsequent empirical tests showed that different selections of the two functions have a negligible effect on the value of the spectral risk measure. Finally, we optimize the allocation of a portfolio based on spectral risk measure. The optimization results are fully explained.