Since Harry M Markowitz published ＇portfolio Selection＇ （1952）, financial economists have proposed many methods to measure risk such as variant, downside-variant, average absolute deviation, maximum deviation, VaR...Since Harry M Markowitz published ＇portfolio Selection＇ （1952）, financial economists have proposed many methods to measure risk such as variant, downside-variant, average absolute deviation, maximum deviation, VaR and so on. However, these methods share a common limitation, which only consider moment of the price, not consider the influence of exchange quantity. In common situation, these methods and their financial theory models can help investors prevent and scatter the risks effectively, but they are no effective to prevent the financial crisis such as Southeast Asia financial in1997 and LTCM crisis in 1998. In this paper, a new method of measuring risk called energy-risk has been proposed. The aim to this method is to respond the usual risk as well as the risk caused by unexpected event and to prevent the risks under any circumstances effectively.展开更多
文摘Since Harry M Markowitz published ＇portfolio Selection＇ （1952）, financial economists have proposed many methods to measure risk such as variant, downside-variant, average absolute deviation, maximum deviation, VaR and so on. However, these methods share a common limitation, which only consider moment of the price, not consider the influence of exchange quantity. In common situation, these methods and their financial theory models can help investors prevent and scatter the risks effectively, but they are no effective to prevent the financial crisis such as Southeast Asia financial in1997 and LTCM crisis in 1998. In this paper, a new method of measuring risk called energy-risk has been proposed. The aim to this method is to respond the usual risk as well as the risk caused by unexpected event and to prevent the risks under any circumstances effectively.
