摘要
以投资期限的划分为分界点 ,提出了静态和动态两种类型的金融风险度量方法。以风险度量的一致性标准为纽带 ,分析和证明了动态风险度量的一致性。最后 ,对一般概率通过函数变换 ,应用 Choquet积分思想 ,对动态一致性风险度量的特征进行了探讨 ,指出它在实际应用中为多期风险度量方法提供的理论依据 ,对长期组合投资具有重要的现实指导意义。
This paper takes the investment period as the point of division, two types of financial risk measurement including static and dynamic are given clearly. The coherence between two methods is analyzed and verified via coherent standard of risk measurement. Finally, based on the Choquet integral of distortion probability, the characterization of dynamic coherent measures is discussed. It provides theoretical evidence for the methods of different transaction dates risk measurement in empirical application. It is very important to long portfolio.
出处
《系统工程理论方法应用》
2003年第3期243-247,共5页
Systems Engineering Theory·Methodology·Applications
基金
国家自然科学基金资助项目 ( 70 1710 0 1)
