双侧风险度量方法及其在投资组合优化模型中的应用

运筹与管理 ›› 2011, Vol. 20 ›› Issue (2): 160-169.

双侧风险度量方法及其在投资组合优化模型中的应用

安实, 徐照宇

哈尔滨工业大学管理学院,黑龙江哈尔滨 150001

收稿日期:2009-11-30 出版日期:2011-04-25
作者简介:安实(1968-),男,博士生导师,研究方向为系统工程;徐照宇(1981-),男,博士生,研究方向为金融工程。
基金资助:
技术·政策·管理(TPM)国家哲学社会科学创新基地资助项目

Bilateral Measure of Risk with Applications to Portfolio Optimization

AN Shi, XU Zhao-yu

School of Management, Harbin Institute of Technology, Harbin 150001, China

Received:2009-11-30 Online:2011-04-25

摘要/Abstract

摘要： 现有的资产风险度量方法不能合理的反映收益的向上波动给投资者带来的风险感受,针对这一不足,本文提出了一种新的风险度量方法,这一方法综合考虑了投资者对于损失的规避和对超额收益的偏好,能够更为真实的反映投资者对于资产收益双侧波动的不同风险感受。同时本文结合新的风险度量方法给出了投资组合优化模型,并对模型的解从不同角度进行了分析。研究结果表明,新的风险度量方法可以为投资者提供更有效的投资决策依据,并且投资者的风险态度对于投资组合有效前沿和最优投资组合都有显著的影响。

关键词: 双侧风险度量, 投资组合优化, 风险态度, 有效前沿, 最优投资组合

Abstract: Current measures of risk are not able to reflect investors’ true feelings about the upside violation of asset return. In view of this insufficiency, this paper proposes a new measure of risk, which considers both loss aversion and excess return preference and can more effectively describe investors’ different feelings about bilateral violation of asset return. Based on the new risk measure a portfolio optimization model is proposed, and the solution is analyzed from different aspects. The results of analysis indicate that the new risk measure can provide better reference basis for investors to make decisions and investors’ different risk attitude have significant impact on both portfolio efficient frontier and optimal portfolio.

Key words: bilateral measure of risk, portfolio optimization, risk attitude, portfolio efficient frontier, optimal portfolio

中图分类号:

F830.59

安实, 徐照宇. 双侧风险度量方法及其在投资组合优化模型中的应用[J]. 运筹与管理, 2011, 20(2): 160-169.

AN Shi, XU Zhao-yu. Bilateral Measure of Risk with Applications to Portfolio Optimization[J]. Operations Research and Management Science, 2011, 20(2): 160-169.

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