RaR决策:一种新的投资决策方法

在VaR(风险价值)的基础上,提出了RaR(风险收益率)的概念,通过分析正态分布和极值分布情况下的RaR计算结果,得出了RaR与期望收益及风险之间存在一种线性关系的结论.基于此,提出了一种新的投资决策方法,发现这种方法可以替代传统的效用函数决策法来进行投资决策.最后,利用这种新方法对投资组合的选择为例,说明了这种方法的可行性.

RaR decision-making: A new method about investment decision-making

Based on VaR(Value at Risk)this paper puts forward the concept of RaR(Return Rate at Risk) and analyses the result of RaR under the two common distributions to draw a conclusion that the relation between RaR,expected return rate and risk is linear.Based on that,the paper advances a new investment decision-making method.The study discovers that method can substitute the traditional utility function.Finally,we test the method through a case of portfolio selection.