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 r...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.展开更多
文摘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.
