摘要
目前文献中几种王氏变换的扭曲函数仍是通过对称分布构造,本文尝试采用反比例因子偏正态分布构造一种新的类似王氏变换的扭曲函数,这种扭曲函数对应的风险测度也具有一致性。最后将新的扭曲测度在资产分布为正态的假设下,以最大化资产组合价值为目标构造决策函数,进行了资产组合最优化的实证分析。
A type of coherent risk measure is obtained by developing a new version of Wang＇ s transform with inverse scale fac- tor skew-normal distribution. In this paper the distortion function is based on a skew-normal distribution, the risk measure de- fined by Choquet integral is proved to be coherent, and the measure is computed under the assumption that the risk is normally distributed. Moreover we study the portfolio optimization problem using the Choquet integral to represent asset pricing tool.
出处
《投资研究》
北大核心
2012年第12期33-44,共12页
Review of Investment Studies
基金
西南财经大学“211工程三期”统计学国家重点学科建设项目资助
