基于方差与半方差的风险刻画方法比较

The Comparison of the Risk Measuring Methods Based on the Semi-Variance and Variance

首先在标准差和下行标准差的基础上计算了贝塔和下行贝塔值,然后在Estrada的框架下,利用我国近5年封闭式基金数据进行实证分析并比较了两种风险刻画方法的优劣.分别利用相关系数和一元回归来比较四个风险指标对平均收益解释力的大小.由于数据相对集中,又利用了Spearman秩相关系数进行了验证,结果表明:在我国这样一个缺少对冲工具的新兴金融市场上,应用半方差来刻画风险要优于方差.

This paper firstly calculates the value of beta and downside beta on the basis of the standard deviation and downside standard deviation, and then in the framework of Estrada, by using closed-end funds data in the past five years empirically, it analyzes and compares the two methods of risk measuring. Using the correlation coefficient and regression, this paper compares the intension of explanation power of the four risk indicators towards the average revenue respectively, and using the Spearman rank correlation coefficient verifies the conclusion . The results show that for such an emerging financial markets lack of hedging instruments in our country, the semi-variance is superior to variance to describe the risk.