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.%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 a-version 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.
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