证券投资频度风险的计量与控制研究

Research on the Measure and Control of Frequency Risk in Stock Investment

证券投资的频度风险描述的是在规定的时间内不利结果出现的频繁程度,反映的是风险负面性的紧迫程度.尽管人们在风险度量中认识到了负面性的紧迫程度,但对频度风险的测度和控制,往往局限于定性分析,且缺乏理论支持.从证券投资频度风险的本质属性分析入手,从定量的角度出发,通过引入频度系数,提出了频度风险的测度模型,并给出了频度风险的估计方法,特别是频度系数的两种估计方法;最后,从理论上证明通过构建证券组合,可有效降低频度风险,为频度风险的深入研究提供有益参考.

Frequency risk in stock investment describes the alteration degree of unfavorable outcomes in assigned time. It reflects urgent degree of risk negativity. Although the urgent degree of risk negativity has already been noticed in the risk measurement, the measuring and controlling on frequency risk are often limited to the qualitative analysis aspect. It lacks the theoretical support. This paper, according to the inner character of frequency risk of stock investment, using quantitative method, puts forward measuring model and gives evaluating method of frequency risk. Especially it gives two evaluating methods of frequent coefficient. At last, this paper testifies theoretically that portfolio can reduce frequency risk effectively.