摘要
标准金融学风险度量模型对证券市场的"异常现象"缺乏解释力,因此有必要考虑投资者的心理和主观感受等因素。根据修正的证券投资风险定义,建立基于"可能性"和"程度"的行为损失概率和期望模型。模型的实证检验结果显示,BPES模型对于中国证券市场投资风险的度量是有效的。
Classical finance risk measurement model is not capable of explaining the ＂abnormal phenomenon＂ in the security market, so it is necessary to take investors＇ psychological and objective feeling into account. According to the adjusted conception of securities investment risk, a model of Behavioral Probability and Expectation of Shortfall （BPES model） has been built on both ＂probability＂ and ＂degree＂. Empirical tests on BPES model showed that it is effective on investment risk measurement of Chinese security market.
出处
《广西财经学院学报》
2009年第6期71-75,共5页
Journal of Guangxi University of Finance and Economics
