基于高阶一致风险测度的组合优化

发布时间：2018-01-05 04:06

本文关键词：基于高阶一致风险测度的组合优化　出处：《系统管理学报》2017年05期 　论文类型：期刊论文

【摘要】：从一致性公理的角度,介绍了MV(Mean-Variance)、VaR(Value-at-Risk)、ES(Expected Shortfall)以及HMCR(Higher Moment Coherent Risk Measure)等风险测度,引入随机占优的概念,分析了HMCR与随机占优一致性的关系,并证明了HMCR(p=n)具有(n+1)阶随机占优一致性,并采用Spearman秩检验法来检验和预测不同测度的风险识别能力。结果显示,HMCR(p=2,3)的风险识别能力好于其他风险测度。最后,在沪深300指数成份股中采用组合优化方法,考察MV、VaR、ES和HMCR测度优化组合持有期的不同业绩指标,得到其最优组合的累计预期收益率。结果显示,HMCR(p=2,3)的业绩指标最好,表明该测度风险识别能力最高,其较高的累计预期收益率也验证了该测度的有效性。另外,扩展研究样本至上证50市场、中小板市场和创业板市场,研究发现,上证50市场能得出类似于沪深300市场的结论,虽然由于中小板和创业板市场存在股票频繁调整的现象导致结果与沪深300市场存在差异,但在持有期的大部分时间段内,中小板市场和创业板市场的HMCR(p=2,3)仍优于其他几种风险测度。
[Abstract]:From the point of view of consistency axiom, this paper introduces MVN Mean-Variance (VaRN Value-at-Risk). ES(Expected short fall and HMCR(Higher Moment Coherent Risk measure). Equal risk measurement. In this paper, the concept of random dominance is introduced, and the relationship between HMCR and random dominant consistency is analyzed, and it is proved that HMCR has random dominant consistency of order n 1). The Spearman rank test method is used to test and predict the risk identification ability of different measures. The results show that the risk identification ability of HMCR-p2 + 3) is better than that of other risk measures. Finally. Based on the combination optimization method of CSI 300 index, this paper investigates the different performance indexes of MVV VAR es and HMCR measure to optimize the holding period of the portfolio. The result shows that the performance index of HMCR-p2 + 3) is the best, which indicates that this measure has the highest ability of risk identification. Its higher cumulative expected rate of return also verifies the effectiveness of the measure. In addition, the expansion of the study sample to the Shanghai Stock Exchange 50 market, small and medium-sized market and gem market, the study found. Shanghai Stock Exchange 50 market can draw a conclusion similar to the Shanghai and Shenzhen 300 market, although there is a difference between Shanghai and Shenzhen 300 market because of the frequent stock adjustment in the small and medium-sized market and the gem market. However, in most of the period of the holding period, the HMCR-p2C3) of the small and medium-sized market and the growth enterprise market are still superior to the other risk measures.
【作者单位】：华中师范大学经济与工商管理学院;
【基金】：国家自然科学基金资助项目(71171095) 中央高校自主科研项目(CCNU15A02021)
【分类号】：F224;F832.51
【正文快照】： 风险测度和最优资产组合选择是风险管理者和投资者非常关心的问题。1952年,Markowitz[1]的投资组合理论问世,提出了均值-方差(或标准差)模型(MV模型),把风险定义为期望收益率的波动率,旨在解决证券投资组合在一定预期收益水平下风险达到最小或在风险一定的前提下实现投资组合

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