文档介绍：首都经济贸易大学
硕士学位论文
一类特殊投资群体的谱风险度量及最优投资组合
姓名:王瑞强
申请学位级别:硕士
专业:统计学
指导教师:沈大庆
20100318
首都经济贸易大学硕士学位论文《一类特殊投资群体的谱风险度量及最优投资组合》
摘要
随着全球经济发展的一体化,金融市场的风险已经成为影响全球经济发展的重要
因素。如何合理的度量投资者所面临的风险,已经成为现代金融理论的一个重要研究
内容。风险度量的一种重要用处就是以不同的风险度量为目标函数进行投资组合的优
化。
本文主要研究了一类特殊投资群体的谱风险度量,以及这类特殊投资群体的最优
投资组合问题。这类特殊投资群体对待风险的厌恶程度不是一成不变或者单调的,而
是一开始随着财富的增加,投资者的绝对风险厌恶程度是逐渐减小的,当财富超过一
定的预期值后,随着财富的增加,投资者的绝对风险厌恶程度是逐渐增大的。本文首
先分析风险在经济活动中的含义以及各种类型,其次介绍了各种风险度量风险方法,
并且比较了优缺点,然后在不同的风险度量方法的基础上阐述了与之相对应的各种投
资组合优化模型。最后利用谱风险度量,来构造这类特殊投资群体的谱风险度量函数,
同时建立了以谱风险度量为目标函数的最优投资组合模型,并且选取上证股票市场的
实际数据进行实证分析。
关键字:风险风险度量谱风险度量最优投资组合
III
首都经济贸易大学硕士学位论文《一类特殊投资群体的谱风险度量及最优投资组合》
Abstract
With the integration of global economic development, financial market risks have also e an
important factor in global economic development. How to measure the risks faced by investors, has been to is
an important research content in modern financial theory. risk measure is always used to to optimize the
investment portfolio.
In this paper, we mainly study a special class of investment groups, the spectral risk measure.
Investment groups’ risk aversion is not monotonous, but beginning with the increasing of wealth, investors’
absolute risk aversion is gradually reduced. When the wealth beyond a certain expected value, the investors’
absolute risk aversion is gradually increasing. In this paper, firstly , we study the meaning of risk in
economic, Second, we introduce a variety of risk measurement methods ,pare their advantages
and disadvantages and construct different portfolio optimization model. Finally we construct the spectral
risk measure function with the method of SMR. At the same time ,we establish a spectral risk measure
as the objective function of the optimal portfolio model, and select the Shanghai stock market’s actual
data to vertify the theory.
Key words: Risk Risk Measure Spectral Risk Measure Optimal Portfolio