摘要
This paper identifies the shortcomings of variance and semi-variance methods in investment risk measurement and introduces a new model,namely RR-ER (relative risk and excess revenue) model,which takes account of the revenue over expectation problem.Properties of RR-ER model and the consistency between RR-ER model and traditional risk measure model with regard to continuous random variables are discussed.Case analysis is presented to prove the practicality and efficiency of this new method.
This paper identifies the shortcomings of variance and semi-variance methods in investment risk measurement and introduces a new model,namely RR-ER （relative risk and excess revenue） model,which takes account of the revenue over expectation problem.Properties of RR-ER model and the consistency between RR-ER model and traditional risk measure model with regard to continuous random variables are discussed.Case analysis is presented to prove the practicality and efficiency of this new method.
关键词
相对风险
过量收入
案例分析
relative risk
excess revenue
case analysis
