基于高阶期望损失的投资组合优化模型

摘要

金融风险管理的第一步是风险的识别和度量,选择一种满足实践需要的风险测度指标是风险管理的关键.首先提出了高阶期望损失风险测度的定义,其次建立了高阶期望损失风险测度的投资组合优化模型,并对其进行求解,该模型的解在获得指定回报率的全部投资组合中具有最小的高阶期望损失风险.模型和求解方法将在金融理论和实践两方面有多种应用.%The first step of financial risk management is to identify and measure risk,accordingly risk measure method becomes a key for risk management.The paper puts forward the concept of High Degree Expected Shortfall (HDES).A portfolio optimization model based on HDES is established and solved,then the solution of the model has the lowest HDES value in all portfolios which can attain the same return.The model and the solution method have many applications in financial theory and practice.